I have the same problem. However, only with SOME eps files. In my case EPS files generated by Matlab just don't show in LyX, but those from some other sources do show in LyX (for example those in the user guide).
My only workaround has been to convert the EPS into PDF manually (in OS X just use preview). If you need to export as LaTeX/eps, you can just export as pdflatex, but compile with plain latex (if you export as plain latex, LyX will try to convert the PDF files back to EPS and overwrite the original files).
