Before launching my blog, I spent several hours screaming at my computer because my blog just wasn't working. Actually, the blog was fine. Windows Live Writer wouldn't connect to it. I tried and retried and check everything that I could think of to figure out why it wouldn't work.
After going away overnight, I came back fresh to my computer and remembered that I was playing with implementing the MetaWeblog API for a small demo project that I was working on. MetaWeblog is an XML-RPC-based API that most blogs support and that Windows Live Writer will use to publish content to a blog or similar content management system such as SharePoint. Back when I was working on that API, I was using Windows Live Writer for testing and using Fiddler to debug my issues with the XML-RPC protocol. When I was doing this debugging, in my infinite wisdom, I forced the TCP/IP address of the proxy that Windows Live Writer used to communicate with my blog. I unfortunately left this proxy address set when I was done debugging.
I noticed something strange when I fired up Fiddler to help me figure out why Windows Live Writer would not connect to my blog, only to discover that WLW worked when Fiddler was running. So, the moral of this story is to always undo your TCP/IP proxy settings after you're done debugging.