I bought my daughter a Nook today to read on. I bought a Nook over a kindle because the book selection is better on Nook. I paid 140 for one at Staples.
I tried to set it up in my hotel room using my macbook as a wifi router for the wired internet in the room. My macbook running Snow Leopard only supports WEP encryption when used to share the internet like this.
The nook saw the macbook and noticed it was WEP, let me type in the password but would not connect using it at all. When I turned off WEP (no security), it connected and completed registration, downloaded her existing books (she was using an iPod Touch to read before, hard on eyes) and all was good.
It won't be a problem in the house where everything is WPA/WPA2 anyway so it's not really a problem but I see enough posts on the web that wifi doesn't work on the nook to make posting this account worthwhile.
I contacted BN about this using their chat support and the gentleman basically confirmed that WEP isn't supported and that you need to use WPA/WPA2 if you want security.
UPDATE:
I just upgraded my MacBook to Lion and WEP now works so it looks like a bug on the MacOS side in their internet sharing thats been fixed in Lion. So, it looks like WEP does work on a Nook despite their tech supports claims otherwise, it was a Snow Leopard bug.