When you first get an Ethernet Shield for your Arduino (I'm using a Duemilanove), the natural thing to do is upload the example sketches to test it out. Everything was working perfectly until I hit the WebClient sketch—it just wouldn't connect.
The Problem
The WebClient example sketch that comes with the Arduino Ethernet library is designed to connect to a web server and fetch a page. The default example tries to connect to Google, but it kept failing on my setup. The frustrating part was that the WebServer sketch worked flawlessly, so I knew the shield itself was fine.