Email Confirmation But No Thank You

Something is interfering with the submission of that form and the redirect afterward. That form should disappear and only the "Thank you" message should appear. The form should not be visible with the data in the fields after submission.

I would check for plugin conflict first.
http://www.gravityhelp.com/documentation/page/Testing_for_a_Theme/Plugin_Conflict

Also, can you submit the form from the Form Preview?

Yes, I think I submitted 3 or 4 times. It was sort of weird. I use the Genesis framework a lot, so I don't think it's related to that. If you can submit the preview and saw your "thank you" then it's a plugin or theme conflict. My guess would be a plugin.

With the default theme and no plugins active, other than Gravity Forms, you still get the same results? But you can submit fine from the preview page?

Looks like the latest Gravity Forms and WordPress. I tried submitting with the Twenty Ten theme and got the same result as well.

Very odd.

Have you tried creating another form and inserting it into a new page, to see if the same thing happens there?

I have a feeling it's going to be something really simple, but I can't put my finger on it.

What does your shortcode look like where you inserted this form into the page? Can you copy and paste that here?

After that, delete it and re-insert it with the icon. I think the shortcode got messed up inadvertently.