The first things I would look at are:
1) Have I exported a loop instead of a song? Possibly a loop where the right and left indicators are set right on top of each other?
2) Related: Is my end marker actually at the end of the song, and not mistakenly dragged to the very beginning?
3) Am I trying to export to a filename with unusual or non-standard characters?
4) Am I actually giving Reason enough time to complete writing the file? Am I sure I'm not interrupting or interfering with the writing before it's done?
5) Do I have enough space on my hard drive to write the file? Am I sure my destination disc isn't write-protected, somehow?
6) Is my mixer, in fact, connected to the proper Reason outs to enable disc writing?