I noticed that some of my themes doesn't preview when I try to activate it. It doesn't affect any blog functionality it just doesn't preview. The new feature "theme preview" on wordpress 2.6 doesn't work if your theme name on your theme folder has space on it. For example if your theme name is Cutline 1.0 it would not be seen on the preview, but if you change it to Cutline the preview should load. Peace!