I mined down to bedrock, somehow dug straight through the earth (through all bedrock layers, but without actually hitting bedrock) and fell into some kind of blue void, losing everything I had.
...Is this a regular sort of occurrence?
Congratulation on your first trip out into the Ether. And yes, it happens but if you're careful it won't as often. The bottom Adminium layer is 95% solid but is riddled with holes for people to fall into the Ether. And Notch made it do you died when you fell into it since you'd just fall, fall and fall some more then some for all eternity, thus making your save useless. So just be careful and it'll be fine