I was building a Wave Shield for Arduino (available from Adafruit ) and of course nothing worked the first time.
I checked all the solder joints, went online looking for software problems, checked the sound files, formatting of the SD card etc. I looked at the serial output of the program and everything there checked out. Finally I starred at my board and the picture of a completed board on the website and DUH! I saw the problem. I had put one of the capacitors in a spot where an LED was suppose to go! I was so busy trying to make sure I had the polarization right that I wasn't paying attention to the component description.
In any project a zillion things could go wrong. Best advice is to take your time and double check everything.