I dont know if you guys/gals have seen it yet but there is a bug causeing the game to state "game data corrupt Delete data and restart game." I dont know whats going on but i felt it needed some attention in the playstation forum.
Only thing I can think of that maybe the cause of this is the HDD installation. The game doesn't tell you it's installing itself into your system so either your HDD no longer has space for the install or the installation is buggy when moving on into another characters side story. But I do believe it installs files on your HDD while playing the game.