I have not lost any links to my photos with any upgrade of LR, from LR1 -> LR2 -> LR3, and even with the incremental upgrades between the major upgrades. I have found the LR catalog to be a lot more stable than the PSE catalog was when I was using PSE. With that said, right now I am only using external HD's for backups. I have a 1TB and a 1.5TB internal HD that my primary copies are stored on. LR backs my catalog up to one of my EHD's also.
LR3 will update your LR2 catalog when you install it, which is why you want to have a backup in case something happens while it is updating the catalog. If the update goes wrong, which it shouldn't unless something happens to your PC during the install, you can re-import the LR2 catalog that you backed up.
Take a look at Matt K's video on how he manages his library files in LR2. LR3 manages them in the same way, so what he demonstrates for unhooking his EHD's and finding missing files works the exact same way in LR3. As long as your catalog is intact, even if you lose the links to your files, it is very easy to get them back. The video is here
. LR should not remove photos from your catalogs unless you tell it to, even if the EHD is not connected during the upgrade.