All this Spelunky talk definitely got me back into the game. It never clicked with me back when it came out. I'm probably just about done with it though, at least as a frequent play, I beat Yama about 10 minutes ago.
Could be a resolution issue. Try starting something up windowed and see if it helps. I know I get these sorts of errors if my desktop and laptop saves are synced up, because my desktop runs at a higher resolution than my laptop supports.
I had a map once that required a bomb to get to the spot where the exit was, and I didn't have any. Had to quit out of that one. I've also twice had the black market spawn behind an altar which is not cool.