Thanks a lot!
It was a problem with the theme. It works fine with the default theme, and the version of the theme I use was missing the wp_footer() inside the footer. When I added it, it worked again.
I also just realized that there is a new version of the theme where the footer is updated to include wp_footer().
So to all of you, who are having this problem: Check your theme!
I have the exact same problem. Everything worked fine until I upgraded to WP 2.8, and I have not made other changes. I tried to disable all other plugins, but that did not make a difference.
http://www.bytopia.dk/blog/