I have run into this while trying to get the AjaxControlToolkit working with MOSS. Turns out there are a couple of things that can cause this. The first is using CreateChildControls to create your controls. While this is typically a best practice in this case it can cause an error. You can create your controls in the OnInit call instead.
The second one, and the most annoying is any other error thrown but not caught. This took a while to figure out and can be a real pain if you do not have the ability to debug remotely.
Final word of warning, watch out for that quirky mode in Internet Explorer. It can be a real pain!