I don't know why, but WPA doesn't work on Ubuntu out-of-the-box. WEP does and we were using it for some time, but recently we finally decided to switch to WPA.
First we found these instructions, but for some reason they didn't work for us. And even if they did, this method is way too complicated.
After some further searching, we found this post. Really simple and it works! Although, after having followed the steps 1, 2 and 3 listed there, we also had to reboot the machine and add ifup eth1 to /etc/init.d/bootmisc.sh file.