We had a frustrating day where we logged 5 DNFs in succession. Our problem was an incorrect datum setting in the GPS (it wasn't set to WGS84) and we were searching 200 metres from where the caches actually were - I've posted a topic on this problem in the Groundspeak GPS forum.
After correcting our "mistake" we went back, easily found 4 of the caches and changed our log entries to "Found" (running out of time to complete the 5th cache and saving it for our next trip to that area).
On another occasion we logged a DNF but we were positive that we had located the place where the cache should have been. An email to the cache's owner resulted in him checking the cache, finding that it had been muggled, deciding the location perhaps wasn't really suitable and archiving the cache to stop other cachers logging a series of DNFs.
We had recently also tried several times to find WP1 of a multi-cache without success. An email to the owner provided us with a hint that allowed us to find the very clevery hidden WP1 and then complete the journey to the actual cache, retrieve a "stuck" TB and send it on it's way.
If you're always having problems finding a cache and your GPS parameters are correct, try contacting the person who placed the cache for a hint - I'm sure they would sooner have their cache "found" than having it "un-visited" (and you may even get to make a new geocaching friend in the process).
Hope this helps and that you get to find a cache soon!