Yes I'm using two arduinos, and initially I did try a speed of 2000 as that is what the example projects use. But even the examples at 4 inches apart with and without a wire plugged into the antenna give me nothing. Just trying to send the message "hello" from the example transmitter file 
I am using VirtualWire 1.9 with arduino 1.0.1
One of my arduinos is an arduino uno, the other is a mega 2560.
I've even tried reversing the RX and TX pins (both in pins 0 and 1 actual rx / tx pins, as well as pins 11 and 12 the default VirtualWire rx and tx pins) in case I had them backwards in my head, to no avail.
This is quite a bit frustrating as all the examples I've read using these and virtual wire showing it as simply pluging it in and starting to send and receive messages with the virtualwire library. I wish there was some way I could confirm that either my receivers or transmitters were faulty so that I could contact sparkfun to see about getting them exchanged or something.
I bought some transceivers to play around with as well: RFM12B-S2 Wireless Transceiver - 434MHz - WRL-09582 - SparkFun Electronics hopefully they will not be as complicated at getting setup. I'm just dreading having to wire the things since they are surface mount boards and I think their connections are closer than the standard bread board pitch so can't just solder some pins to it. They also use more power than I'd like since the units with the transmitters are going to be run off batteries, that is why I was trying to get the RF transmitter / receiver working first.