I've encountered a strange problem - some of the times that I've loaded a saved game, the game locks up on me to a black screen - it'll load the game, but after that, nothing - I have to kill it with Task Manager. The thing is is that it only does it with some save games, but not all.
Just for some info, I'm running it on the Windows 7 RC 64-bit. All my video drivers are updated, and DirectX is updated, AFAIK.

I have something similar on my system with some save files (it seemed to happen after the game crashed with a memory error once) but I just have to wait for a while (a minute or two) and it will load just fine.
I think if you wait long enough your game will load.
I suggest making new save files in different slots and then manually deleting (or moving, just to be safe) the old ones from the saves folder in your Arx directory. That should fix any issues with the save files or slots being glitchy. It may help if you move to a different level\map before making your new save.
Also, you may want to run a disk check and defragment the drive the game is on. A lot of times errors like this are caused by the actual data on the drive having errors of some kind.

check http://www.gog.com/en/forum/arx_fatalis/game_save_problems for some other possible ways to fix it. I doubt defragmenting your disk or using new saveslots will do you much good, so save yourself the effort (though defragmenting your disc once in a while is always proper pc-hygiene).

Yeah - I tried loading a game shortly after I posted this thread, and I just waited it out, and BAM, it loaded fine - weird.

I have the same problem. I've found that if I just leave it loading it will sometimes stay frozen indefinitely, however, if I after waiting ~20 seconds I then provide some input (hitting escape, or the spacebar) it'll then complete loading.

I have had the same problem. Sometimes it would take a really long time to load, and sometimes it wouldn't load at all. I didn't enjoy waiting around to find out which one it was each time, so I emailed support. They said there might be something wrong with my RAM...? Here's the email:
"Have you checked your hard drive and RAM for errors? I would suggest a thorough surface scan for the hard drive and the program memtest86 for the RAM. It's possible that one of these is generating read/write errors."
I haven't tried it yet, but I can tell you I've gotten to know the first couple of levels pretty damn well!

I've done some testing and it appears to be an area-specific bug. So, just get through the area you're in and save elsewhere. It's something you may have to endure every now and then, but no biggie. :)