I also ran into various problems using a STK200. I bought this one on eBay:
http://cgi.ebay.com/ATMEL-AVR-ISP-Programmer-For-Parallel-Port-STK-200-300_W0QQitemZ190143362817QQihZ009QQcategoryZ4661QQrdZ1QQssPageNameZWD1VQQcmdZViewItem
It comes with a 10-pin header, so I made a 10-pin to 6-pin cable with the information I got from this image (from LadyAda.net)

Yesterday afternoon, I had my first try getting this combo to work, I used uisp. I was able to burn a bootloader, but not able to program any sketches from within the IDE. After burning the Arduino bootloader, there was no blinking light too. I also could program .hex files created from within the IDE. For example, I tried the blinking led and it worked.
Last night I tried again and this time it was the other way. I was not able to burn bootloader, but I was able to burn sketches from within the IDE. The problem was that as soon as I connected the stk-200 to the ICSP on the Arduino and powered up the Arduino (through external adapter or through USB from computer), the Arduino wouldn't power up. Removing the ICSP connector of the STK200, Arduino powered up again.
I don't know what to do now!
I hope someone here can help me out!