I had a weird issue today where the Amazon code was properly added in the editor, but when we went to look at it on the post, it wasn’t there. Switching between Visual and HTML editing options would strip the code, too. The problem was the Trustworthy XHTML plugin 1.1. “Gives you control over how WordPress auto-formats XHTML in posts and pages. The administrator sets the defaults, and based on a user’s Role, that user may override the default setting for his or her own profile. By Leo Jackson.”
As of WP 2.5.1, this plugin is no longer needed. Check for it and remove it.