The shared key (password) used to encrypt a WPA2 wireless connection to a DD-WRT router has a maximum length associated with it. If the key you enter is too long, it won’t work. (This may also be the case for other encryption protocols besides WPA2; I haven’t tried.)
Unfortunately, the web interface does not limit the WPA2 shared key text entry field to whatever its maximum length is, and no error message is produced if you try to use it with an overlong WPA2 password. The wireless connection simply does not work. Silent failure.
So if you’ve got a very long WPA2 shared key, everything else seems to be configured correctly, and you just can’t connect, try a shorter key.