I haven't had time to thoroughly debug this, but I think I've found a few problems. Maybe someone has a quick solution?
For the items below, all the images were links to an external site (actually a photo gallery running on the same domain as my blog).
1.) When the image filename has a space in it (actually a %20 code) the generated thumbnail was blank...but apparently width and height are still getting set because the_post_thumbnail() generates html code as if an image were really present. A big blank space is all I see.
2.) The URL's I get directly from my gallery have a parameter following the image name. (I.e. path/to/file/image.jpg?parameter=value). For all URLs with this format, no thumbnail is generated. I'm guessing it's erroring out somewhere and so nothing is put in the wordpress database. Of course, now that I know about this, I can try to make sure all future posts have a proper format, but for automatically processing all existing posts, this is error causes issues.
With a little effort I might be able to fix this on my own, but has anyone else run into these problems and have a solution for it?