Double posting here for effect
I just updated the sticky FAQ in General Chat but I thought I should call out the update as a seperate thread as well so that it's easily found.
11.0 - Connection Issues
The main reason that people lose connections in multiplayer is because either they or the host have their NAT (firewall) set up incorrectly to work on Xbox Live. To see if you have this issue, go to the System Settings blade in the dashboard and choose Network Settings. From there choose to Test Xbox Live Connection. If your NAT returns "strict" or "moderate" then that is likely your problem. To work correctly on Live you want that test to return "open". To acheive this you simply have to port forward a specific set of ports to your 360 as detailed by this Microsoft support bulletin:
Unable to Connect to Host
Unfortunately, this error message is not really giving you the whole story as usually it simply means "Server is now full". What is actually happening is that between the time that the query for hosts was sent and the list was displayed, some of the servers have filled up. This is especially true of Quickmatch and of any host that is displayed with a greater player count than "4/8". In the short term, the best way to avoid this is to use Custom Match and only select servers that display "1/8" player count as that will increase your chances of joining before it's full.