Fiddler is your friend for Silverlight communications debugging
One of the tips I recommend most often is to add Fiddler to the list of troubleshooting tools you use when developing Silverlight apps. Fiddler is an HTTP web debugging proxy and intercepts and logs all HTTP traffic. You can download it for free here:
http://www.fiddlertool.com/fiddler/
You can easily see issues like a clientaccesspolicy file not being found, or the wrong url for a video or an image, or hitting the wrong server for a web service request. A couple of tips for getting started with Fiddler. You can't intercept traffic going to the Visual Studio web server (Cassini), and you can't by default intercept traffic to localhost. For the localhost issue, you can pretty easily add an entry to the hosts file on your machine for 127.0.0.1:
http://compnetworking.about.com/od/windowsnetworking/g/hosts-file.htm
Then to test your app hit the host name you specified in the hosts file instead of localhost. A lot of times the app will work fine locally but then when deployed to another server the app fails. Fiddler will be able to intercept these calls without any changes and you should be able to fine the issue quickly.