I would do the following.
Check to see if your ePub file displays in Digital Editions.
The run epub check
on your ePub to see if it turns up anything interesting.
Also you may want to read our "EPUB Best Practices Guide"
(this one is on our dev center
which has other good info as well)
Of particular note is a memory problem we have on the Sony Reader, if you have a single chapter (the XHTML document not including the images) that has a size of greater 300K (uncompressed). (I see Hadrien beat me to this one
If after that you think there is still a problem email me and I'll start up a bug report for you.