You probably used one of those "set hidden finder features" apps/utils, didn't you... naughty person you is... If you open up ~/Library/Preferences/com.apple.finder.plist with Property List Editor and see an entry for "ProhibitConnectTo", then thats the problem. Set it to false and save the changes. Then Control-Option-Click on the Finder icon in the dock and select Relaunch. When the Finder comes back up, Connect To should be available again.
If you don't want to edit the plist, you can also just drag com.apple.finder.plist to the trash, control-option-click on the Finder icon in the dock and select Relaunch. When the Finder comes back up, Connect To should be available again.
Note: Property List Editor.app comes with the OS in the Developer Tools package or you can use one of any number of plist editors available online.
Hope that helps...