I use a PPTP VPN server that is built into the DD-WRT v24 preSP2 firmware for a LinkSys WRT350N. I have no issues connected PPTP with my MacBook Pro using this connection via my air card, or other WiFi. I also have no issues with my Windows 7 computer, or my Windows XP laptop.
Under iOS 4.2.1, my iPhone connected flawlessly to the PPTP every time. Since upgrading to iOS 4.3, I noticed that the VPN would not connect. I checked the settings, deleted the connection and then re-created it. Still nothing.
Being that I am stubborn, I kept trying to connect. Eventually after about 15 tries it connected. Even after connected the first time, future connections yield the same result. I only get connected about 5-10% of the connection attempts, but eventually it will connect and transfer data. Once connected, it works great.
My best advice, be stubborn and just keep attempting to connect and with any luck it will eventually connect.