This behavior puzzled me quite a bit 'till I figured out what was happening, so I thought I'd document it in the hope of saving someone else the trouble of troubleshooting.

Here's the code I created that enabled me to isolate this issue - ObjectSpawner.js: It should spawn Temp1, Temp2, and Temp3 - but even though Temp2 seems to spawn correctly it never appears in Unity's scene hierarchy.

function Start () {

    var temp1 : GameObject = new GameObject("Temp1");

    DontDestroyOnLoad(this);
    DontDestroyOnLoad(temp1);
    Application.LoadLevel("Scene2");

    Temp2();

}

function Temp2 () {

    var temp2 : GameObject = new GameObject("Temp2");
    print(temp2.name); //It looks like it exists...

    Temp3();

}

function Temp3 () {

    yield;

    var temp3 : GameObject = new GameObject("Temp3");

}