Spike in our data access support team has a really good blog talking about data access related issues in .net.
Recently he wrote a really good post about what you should gather to troubleshoot a connectivity issue effectively such as
- Connection strings
- SQL Server logs
- The exact error message (with stack trace and other details)
- Netmon traces
- Memory dumps
- File version info
along with what you should look for in each…
I would recommend both that post and the blog as a whole to anyone dealing with data access related issues.