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Infant damnation is the idea that infants who die before being baptized go to Hell, because they inherit original sin which can only be removed by baptism. It's a contentious issue in certain branches of Christianity, with many sects outright rejecting it, even as others hold on to a cruel and outdated bit of theology. Regarding baptism and salvation, scripture tells us that it is only through confessing Jesus Christ as Lord and His redemptive work on the cross that we may be saved. See John 14:6 and Romans 10:9-10, to cite only two regarding salvation. Baptism is the outward show of what has happened on the inside when we receive forgiveness for our sins and confess Jesus as Lord. However, in John 3:5 we read "no one can enter the kingdom of God unless they are born of water", which implies that all who die without baptism are damned.
Christians in the eastern part of the Roman Empire (modern-day Greece, Turkey, Israel, Egypt) typically believed that babies who die unbaptized go neither to hell, nor to heaven. St. Gregory the Theologian taught that those who "lost the Gift through ignorance or tyranny... will be neither glorified nor punished by the righteous Judge". St. Gregory of Nyssa went further by affirming that babies partake of God in the afterlife, albeit much less than those who grew up and led a virtuous life in this world. Nevertheless, he projected that babies' enjoyment of God would gradually increase.
In the west on the other hand, up till the Medieval epoch and beyond many taught that unbaptized infants were eternally damned. See the following example, from the end of the 5th century:
“”Hold most firmly and never doubt that, not only adults with the use of reason but also children who either begin to live in the womb of their mothers and who die there or, already born from their mothers, pass from this world without the Sacrament of Holy Baptism, which is given in the name of the Father and of the Son and of the Holy Spirit, must be punished with the endless penalty of eternal fire. Even if they have no sin from their own actions, still, by their carnal conception and birth, they have contracted the damnation of Original Sin."
|—Bishop St. Fulgentius|
This did and still does cause terrible suffering for Christian parents who were unable to have their babies baptized in time. However, not even baptism makes an infant's salvation certain according to the most celebrated of church fathers, St. Augustine of Hippo: "Certain infants, even those baptized, He does not take from this life as adopted into the eternal kingdom, and does not confer on them the great benefit given him of whom we read: “He was taken away lest wickedness alter his understanding.“"
Many Christians just assume that innocent children go to Heaven when they die. The Roman Catholic Church traditionally taught that unbaptized infants go to a place called Limbo, until it was questioned by theologians. Today Roman Catholics seem to accept (with no small amount of discomfort) that something or other happens. The Roman Catholic Church itself seems to not know what happens to unbaptized infants, and Popes have detailed at least four different positions supposedly "clarifying" the situation, but in reality generally contradicting each other.
In many Protestant sects, the belief is that all children below a certain age automatically go to heaven if they die. In Left Behind, for example, all children under age 8 are Raptured, regardless of their religious affiliation or the religious bent of the family they were born into. They are considered too young to be able to decide for themselves whether Jesus really is their Lord and Savior or not. The age at which the switchover from "innocent" to "guilty" occurs is known as the "Age of Reason" (no relation to the Thomas Paine monograph). Catholicism has an Age of Reason too (age 7), but in Catholic doctrine, its only benefit is that no venial sins committed before reaching the Age of Reason count toward your time in Purgatory -- you'll still be barred from Heaven forever if you die unbaptized. Some fundamentalist or traditionalist Catholics still hold the belief that unbaptized infants go to Hell.
Abortions and miscarriages
- The babies go to Heaven. Since that is the ultimate goal and only desirable outcome of living the fundamentalist life, you have to wonder why they're so against it in this case. Perhaps because this would imply that all unborn babies should be aborted to ensure their souls are saved. It should be noted that Calvinism holds this position.
- The babies go to Hell. This raises some rather sticky questions about God's supposed mercy and benevolence, especially as it's been estimated that two out of three pregnancies end in miscarriages, usually before the women are even aware they're pregnant. Arminians are, rather unfortunately, forced to hold this position if they're living their beliefs right. In the Salvation War saga, nastily enough, unborn babies are said to be one of the preferred snacks there.
Another possibility is that sufficiently undeveloped fetuses have not yet had souls attached, which would render the whole question moot. But at what age the soul manifests is not explained, except in SubGenius doctrine, which says it occurs when the child is 15 years old (yes, they approve of abortion up to the 47th trimester). Muslims usually believe, although it seems to depend on which "authority" you ask, that the fetus is not "ensouled" until 120 days after conception; if you believe this then it's OK to have an abortion before that time. Jewish authorities peg it at 40 days. Although they make no reference to souls, most bioethicists consider experimentation on embryos after they reach the primitive streak stage (14th day) to be unethical. 
The wider picture
- Arminians believe that conversion alone enables salvation; this casts doubt on the salvation of all babies and children who die too young to experience conversion. Really, it's a pretty terrible situation to be in, as to be consistent in holding those beliefs you A) need to accept that the deceased were too young to convert or B) you ignore it and go on to other topics.
- John Calvin and Charles Spurgeon believed the doctrine of infant damnation was reprehensible and believed the Holy Spirit in some way saved those who die very young (assuming that the deceased was part of the elect).
- Some passages in the Gospels can be interpreted to suggest that children go to Heaven if they die.  
- Dante's Inferno posits that, although unbaptized babies do go to hell when they die, they go to the nice, plush-carpeted outer ring of hell where there's no eternal torture. For outsiders, especially those who have held a newborn infant in their arms, it seems a trifle harsh that their souls are condemned to eternal damnation simply because their parents are godless commies or they are too young to convert.
The wider wider picture
You'd better believe that as much as the church hems and haws about sending babies to hell when confronted by freethinkers, they're not afraid to use this asshole doctrine to scare and traumatize believers into toeing the line when outsiders aren't looking. Nothing but nothing motivates parents sucking up to church policy like the threat of roasting babies[note 1] Scientology would burn with jealousy at this naked manipulation.
- This isn't a new viewpoint. People were complaining about this bullshit back in 1852.
- How can limbo just be abolished?
- Every child is born Muslim
- Al-Bukhary, Volume 9, Book 88, Number 171
- Oration 40, XXIII
- On Infants' Early Deaths
- To Peter on the Faith, page 100, sec. 70.
- Against Julian, book 5, chap. 10, sec. 43
- The Hope of Salvation for Infants Who Die Without Being Baptised
- How can limbo just be abolished?
- Popes have taken Four Contrary Positions on the Fate of Unbaptized Infants[dead link]
- Wryte Stuff.com: The Voice of an Aborted Child
- Misrepresentations of Calvinism Cleared Away. Spurgeon, Charles, circa 1861.
- The President's Council on Bioethics, Human Cloning and Human Dignity: An Ethical Inquiry. July 2002.
- The Arminian Doctrine of Infant Damnation
- Matthew 19:14
- Mark 10:14
- Luke 18:16
- "Nothing indeed can be more curious, nothing more deeply pathetic, than the record of the many ways by which the terror-stricken mothers attempted to evade the awful sentence of their Church. Sometimes the baptismal water was sprinkled upon the womb; sometimes the still-born child was baptized, in hopes that the Almighty would antedate the ceremony; sometimes the mother invoked the Holy Spirit to purify by His immediate power the infant that was to be born; sometimes she received the Host or obtained absolution, and applied them to the benefit of her child. For the doctrine of the Church had wrung the mother's heart with an agony that was too poignant for even that submissive age to bear." Rationalism in Europe, i, 362-364. Quoted here.