We were having this strange problem today where an SqlDependency that we set up would mysteriously stop working after a short while (maybe 5 minutes or so). What would happen is, you'd set up the SqlDepedency, and for about 5 minutes or so, everything would be fine. The dependency would fire if we changed the corresponding row(s) in the database.
But if we left things alone for about 5 minutes and went back, the dependency stopped firing, and we never got an error!
It took some searching, but I finally stumbled across this bug, which pointed me to KB 913364. After downloading the hotfix (luckily, it wasn't one that I had to call to download!) it was fixed!