The first thing to check is to make sure you are using the correct connection information for your site, including your username and password as well as the correct name of the server for the service you are trying to use. You should always check this, even if you are sure it is correct, before exploring more exotic options.
If you are unable to connect at all, or if the connection appears to drop immediately, one possible explanation for this is that you are running firewall software (or have a hardware firewall) that is blocking your connection.
If you use P2P file sharing software, many "P2P block list" applications can block connections. As an example, the P2P application PeerBlock (formerly PeerGuardian) in its default configuration uses lists on which we appear and blocks FTP/ssh traffic.
In such cases you will need to either disable the application or set up a manual override to allow the connection.
The most common diagnostics that indicate problems with firewalls and blocking software are "Permission Denied," "No route to host," "Connection refused," "Host unreachable," or "General failure" when attempting to access our FTP or ssh servers, but no similar problem when trying to access your site(s) or ours by HTTP or HTTPS. If you can't access anything at all, the problem is likely something else.
As of October 2010, we are known to be listed on the Bluetack "level1" list and the TBG "PrimaryThreats" list. The stated reasons for listing us are dubious, but since these lists basically say "do not connect to these IPs for illegal P2P file sharing" we don't really mind being listed; that type of usage would not be concordant with our Terms & Conditions of Service.
This can also happen if you have non-functional IPv6 connectivity. Our ssh server supports IPv6 and some home network devices advertise IPv6 capability even if it is not supported by your ISP.