--- Operating System, Graphics card ---
Windows 7 sp1 64bit

--- Blender version with error, and version that worked ---
blender-2.65a-windows64.zip - OK
... - ???
blender-2.65-r54188-win64.zip - with issue
blender-2.66-windows64.7z - with issue

--- Short description of error ---
in some cases, applying the screw modifier will miss-assign face materials of the object in case, when its "smooth shading" is unchecked and "calc order" is checked.

--- Steps for others to reproduce the error (preferably based on attached .blend file) ---
1. open blender
2. add to default scene cube the screw modifier (or make your own shape you want to apply the screw modifier)
3. check "calc order" option of screw modifier
4. uncheck "smooth shading" option of screw modifier
5. click "apply" of screw modifier
6. now, the object turned black

the fastest way to get the object material back to its normal one is, to go in edit mode, select all faces and assign the material - even if there is no material selected or listed. when you leave the edit mode, everything looks normal as usual.

(here another longer way, for people how complain about why screw a cube)
[A], [A], [DEL], [ENTER]
[SHIFT] + [A], [M], [P]
[TAB]
[ALT] + [M], [C]
[E], [X], [1], [ENTER]
[TAB]
Add Modifier, Screw
check "Calc Order"
uncheck "Smooth Shading"
click "Apply"