There is an error message (in Beta 2, hopefully fixed by release) that I have come to dread that appears when first attempting to connect to a TFS server, it looks something like this:

Unable to connect to this Team Foundation Server : [machinename]

Team Foundation Server URL: http://[machinename]:8080
Possible reasons for failure include:

• The Team Foundation Server name, port number, or protocol is incorrect
• You don't have sufficient permissions to connect to this Team Foundation Server
• The Team Foundation Server is offline
• Password is expired or incorrect

For further information, contact the Team Foundation Server administrator."

These types of error messages are particularly enjoyable when you actually are the administrator that needs to be contacted.  Nevertheless, here's some pre-release advice if you come across this message:

• to check vital signs - ping [servername] to make sure it is responding, check the sharepoint site on the application tier, etc.
• if this is a new user that hasn't ever connected before, make sure the user account that set up TF granted permissions to that new user, I don't have any data to back it up but my guess is that "ACCESS DENIED" is probably the major reason this dialog appears.
• The other two bullet points are worthless because you would know it is offline if you ping it, and the last one seems bogus since you don't supply a password anywhere in the process of trying to connect - it uses integrated windows auth. 

Again, these notes are for the Beta version and I hope that they will be irrelevant at release time.