What version of Vegas are you using?
When I first got Vegas 8 and throughout my first couple months of using it, I had issues like this. I use Vegas 10 now, but I figure it's mostly the same.
First, make sure you have CCCP
downloaded. Once it's done, restart computer and open up the project file again. Make sure that none of these appear red on the timeline, as that means they are "offline" and aren't connected to your project file. Go to File > Render as, and before you save it, go to the Custom... button by templates, and select a codec. If you're using Zarx, then you should be rendering everything as either Lagarith, Huffyuv, or just uncompressed.
If you say that you can see some clips but not all when you're done rendering, and I can't quite remember if this is the right case, but basically your clips use different codecs, and you're missing the right one for the others. Make sure you have CCCP.
I'm not a tech master, but when I had similar problems like this, that's how I solved it.