It is not uncommon for early ultrasound tests to show two fetuses, but at a later viewing (or at birth) only one baby shows up. This was first described in 1945, and has since found to be quite common.
This isn't a problem with the ultrasound - one of the fetuses is actually disappearing. This may be caused by the reabsorption of one fetus, the formation of a papyraceous (it's still there, but it's "mummified" or compressed), or development of a small abnormality on the placenta, such as a cyst,
subchorionic fibrin, or amorphous material.
If this happens during the first trimester, there probably won't be any damage to the other fetus or the mother. If it happens any later, the remaining fetus might be at risk for cerebral palsy, or cutis aplasia. The mother may have complications in labor or an infection from the dead fetus. This could result in death. Women over 30 years of age are more likely to have a vanishing fetus.
There aren't any certain figures, but a vanishing twin probably makes it's appearance/exit in about 1/5 to 1/3 of the cases multifetal gestation.