using the exact code (js not HTML) in your example (at http://benalman.com/code/projects/jquery-hashchange/examples/hashchange/) with jquery v1.4.4, in IE 8, the hash is only changing every third time. In firefox it's catching the hash change perfectly.
My thought is that I'd be able to change the hash 20 or 30 times and hit the backbutton and see those changes as I step back through the history in the title. Again that's happening in FF but only one in three times in IE 8.
I can't reproduce this issue here.
Are you viewing the web page at a file:// URL or through a web server at a http:// URL? Because there's often a difference in behavior, especially with code that modifies the page URL.
Please ensure that you are testing this through a web server. Also, be sure to test on a different machine as well, and then report back with your results.
I still can't replicate this issue. Do you have any addons, toolbars or otherwise non-standard settings in your IE8 or Windows?