Well this issues bombed on me when I was preparing for a BizTalk - ESB demo for one of the customer and again I found that the fault message was the one which really made it such a time consuming issue.
Nevertheless I thought of sharing with the community as it might just save you a couple of hours in crunch situation.
While I was configuring my "Receive Location" with the OOB pipeline "ItinerarySelectReceiveXml" , under the Resolver Component "ESB Itinerary Selector" , the "Resolver Connection String" for Business Rule (Rule being used for resolving the itinerary) was specified incorrectly with forward slash " // "instead of " \\ " which was causing the error and yes the Error message was'nt helpig me either.
There was a failure executing the receive pipeline: "Microsoft.Practices.ESB.Itinerary.Pipelines.ItinerarySelectReceiveXml, Microsoft.Practices.ESB.Itinerary.Pipelines, Version=220.127.116.11, Culture=neutral, PublicKeyToken=31bf3856ad364e35" Source: "ESB Itinerary Selector"
Reason: Parameter name cannot be null or an empty string.
Parameter name: key
So simply put , correct the format to " BRI:\\ " and error would be resolved. ( I was using a Business Rules Resolver and hence I have a 'BRI' prefixed to the Connection String ,so have your connection string as per the resolver you need to use).