Same problem here with my 4S. Only some photos back up. I created a new iCloud account. No Mobile me migration.I didn't do a factory re-set, but I did delete my iCloud account thinking the problem might not appear when I create another one. Now when I try to create an iCloud account I get two messages, either, "Verification failed. Unable to connect to the server", or "This Apple ID is valid. but this iPhone does not support iCloud".
I am stumped.
Oh... btw, deleted my iCloud account and tried to create another one just after installing the update 5.0.1
Have you gotten the OTA update yet?