A buddy was having trouble with Cufon not working in Internet Explorer (and, as usual, it was working in other browsers). His site was in Drupal, and we couldn't find any problems. It was also weird that IE didn't have the little error indicator in the bottom corner. The only thing that made me uncomfortable was the number of link and script tags in the document head. So with no real error apparent, we started a wide search in Google. I quickly found, buried in a forum, that (as you may have known or guessed) IE only loads the first 31 CSS files and ignores the rest. So my friend turned on Drupal's CSS optimization option (which condenses the CSS files into a single file) and it instantly worked (the site had numerous modules installed -- and each brought its own CSS).
This is something worth remembering (hence this little post) because of the ambiguous nature of the problem. It may be something widely-known, but I've never come across it myself. ... since, you know, my sites don't have that many HTTP requests </backdoorBrag>
Drupal has a nice solution to this issue of too many HTTP requests (at least for the CSS files). My platform of choice is ASP.NET MVC, and Mark Berryman has created the Sprite and Image Optimization library (also available in NuGet). I haven't had the chance to use it yet, but I definitely plan to.