Are you using an attachable shield for your Uno? That similar to a protoshield, meaning it has male pins that go into all the headers on the Uno. I too, have an Uno and a Mega, and also bought the Mega for more pins (Got my Mega yesterday). If you're lining the shield pins on the Mega to that of how it would be on the Uno, there's your problem. Read http://arduino.cc/de/Reference/SD to see which pins need to be changed. Pins 11,12 and 13 need to be changed to pins 50,51 and 52. The SS pin (Pin 10 on most arduino boards) needs to be moved to pin 53 on the Mega. I'm having this issue (sorta) too. http://arduino.cc/forum/index.php/topic,165170.0.html