We just installed a new wireless router with WPA security (with the last one we were using WEP). My MacBook Pro connected just fine first time. The problem was that whenever I close the lid and reopen, the Airport would not automatically connect, it would ask me which network to connect to.
The surprising solution was to move /Applications/Utilities/System Preferences.app into /Applications/System Preferences.app
Now AirPort reconnects all by itself every time.