I've had problems connecting to certain games on Xbox Live lately. In Gears of War, it seems dependent upon who is hosting. Then last night on Burnout Revenge, it didn't seem to matter who hosted (which makes sense, actually, because I believe the servers are actually located at EA).
Linksys Live Chat couldn't help me. Xbox.com couldn't help me. Then I googled "Gears of War port" or somesuch and found www.portforward.com. There I selected my router and game (Xbox Live 360), and it told me exactly what to do. Turns out this information is also available on a Microsoft page, although I couldn't find it anywhere on the Xbox site, including the part that is supposed to deal with these issues.
So, I got my ports forwarded and unchecked a few boxes and now I appear to be golden. And I thought writing this up might help other people.
One other thing - there is a diagnostic tool on your Xbox in the settings area called something like "Test Xbox Live Connection". It would be a great idea for everyone to run it. When I did, it told me that my NAT was "Moderate". Apparently, MS classifies every form of NAT as either Open, Moderate, or Strict, and Open is the way to go to ensure that you can connect to games hosted by anyone.
Once I followed the steps at PortForward, I re-ran the diagnostic tool and it said my NAT was now Open. I was also able to join the Burnout game that I hadn't been able to before (but ditched immediately to go to sleep - sorry, guys!).
Hopefully, this helps some people. And hopefully, they'll fix the microphone bug that happens when you join a game in progress!