Ok, had something strange that I think is worth a share. I just upgraded a virtual machine to Lenny and installed MySQL and phpMyAdmin and apache and the like. Created a user for a Django project I'm working on and it couldn't connect. I tried resetting the password several times, didn't help. Then, out of frustration, I tried connecting without a password and... it worked!
Apparantly, by default, the MySQL in Lenny created access rules that allow all local users to access the database without a password. These have priority over the specific user controls. A bit unexpected and I suspect others to run into this. Could make you search for a problem if you're installing a shared webhosting machine with a local MySQL database.
delete from mysql.user where User='';