Turns out there's been some games getting removed from the Xbox Live Marketplace recently.
A few weeks ago, towards the end of October, Sega Rally Online Arcade was removed. The speculation is due to the expiration of a licence with the vehicle manufacturers featured in the game.
Merv Griffin's Crosswords was also removed, also likely due to a licencing issue.
Towards the beginning of November, Inferno Pool was removed. The developer, Dark Energy Digital, went under earlier in the year... which is likely the reason for this game's demise. Dark Energy Digital also developed Hydrophobia, but unlike Inferno Pool (which was self-published by the company) Hydrophobia was published by Microsoft, and likely won't be taken down.
These last three have been removed for apparently no reason, however one theory suggests It's due to a lack of sales performance.
While I love digital distribution, and think it's definitely the future of video games, this just serves to remind me of the possible dangers, and some of the legal issues that need to get worked out for it to be a viable long-term option for game collectors.