Can you guys try this, which seems to work for me (as in: after installing Custom ROMs, is what worked ...)
1. set you phone into WiFi Tethering Mode.
2. connect Transformer to use WiFi via the phone
3. log onto market and initiate download.
4. should work fine. Then disconnect from phone, use normal WiFi connection, and it should work.
I've had long discussions with Google about this. They told me to open a bunch of ports on my router, which seemed to help, but is not THE permanent solution. I think Google, for some reason, needs a fix on your position before they validate you initially, which is what they get when you connect via a cellphone.
The ports in question are:
outgoing TCP and UDP connections to 443 + 5222-5443 port range.
Note: there is often a delay when ordering something from Market via website, and getting it sent to device. This is normal. Downloading via Market App should be faster.