Are you using Multi-Site? I'm using that with the latest trunk, i.e. 3.4 beta 2.
The links in the preview theme look like they are active but when I click on them, nothing happens. It won't even go to a post if I click on it. Nothing on the main menu or footer menu works.
I've got debugging turned on and there's nothing unusual.
I could try it with a single install and see if it is a Multi-Site issue. I've disabled all plugins and ruled that out. I've tried it with the 2011 theme, the 2010 theme and several others. Same result.
I just installed the latest trunk on a single WP site. The preview works. I guess it means that the preview theme won't work on Multi-Site.