If I\'m working in a file, change to another buffer, and then change back, I have lost my undo history.
vim File1.txt
You can also add persistent undo, this will have vim store your undo even through restart:
" Persistent undo set undofile set undodir=$HOME/.vim/undo set undolevels=1000 set undoreload=10000
Edit - via @sanbor:
Don't forget to do mkdir ~/.vim/undo, otherwise vim won't do it for you.
mkdir ~/.vim/undo