I tried adding terrain to my game. When I built WMB and ran the level the terrain was invisible. (Yes I made sure invisible was not checked under the terrain's properties.) I was able to walk on the terrain like it was a solid object, but I still was not able to see it when I ran the game.

I am thinking the problem could be because the Material under the terrain's properties was set to ndef.

Do you know why it would not be visible?

hmm...

is the scale set > 100?

material shouldn't affect it unless there was one that used a bad shader or alpha...

Is there an alpha channel on its skin?

maybe you use texture with alpha channel? 32bit .tga?
the model and terrain will transparent or invisible,
if you want use alpha channel you should added script for terrain or model action

Guitar: What would happen if the scale is above 100?

It should either give you an error, or not show up...

Most likely an error. I've always had problems with models/terrains being scaled over 100...