This was a pretty big issue for a lot of people (including me) a while back. The newest versions of the market should have fixed it. If it's not a space issue like 240phil asked, you can try one of these fixes:
-Go to MENU-Settings-Applications-Manage applications-Market and clear data and cache. In Manage applications, you may need to press MENU and then -something- to get it to show all applications (I can't remember exactly what it says in 2.1).
-Create a new gmail account on your phone. You don't need to sync it, just create it. Then go to the market. If that works, you can delete that new account from your phone. I've got an unused gmail account that fixed the problem for me.