I build a device that used the circuit outlined here:
http://arduino.cc/en/Tutorial/MidiIt works great, *but* it doesn't play well using MIDI Thru on another device. Adding 220 Ohm resistor between the TX on the Arduino and the signal pin on the MIDI port fixed this right up. Might be a good idea to add this to the circuit on the website in case other folks have the same problem.