Don't know if that helps but I have read on Vref Dual Step Motor Shield (Arduino) iteadstudio.com - Mikrocontroller.net that the dual stepper controller board v1.0 has one serious construction fault. it is in german but I guess google translater could take you across.
Anyways I havn't looked into what stepper you used but did you put in the correct steppings ? I mean the example code uses 1/8 stepping with a 200 step stepper. Therefore the '1600' in the example code. One 20 step stepper would need 160 steps for one revolution in 1/8 stepping mode (20 in 1/1 stepping mode, etc.).
I am very new to this stepper stuff and electronics in general so it is possible I have just written false information 
UPDATE:
I had the exact same problems as the TS with just a stepper motor making noises and not moving at all.
I am using a DVD drive stepper from an old Samsung drive.
These steppers don't do 200 steps per revolution but I guess more like 20.
20 * 8 = 160
instead of
200*8 = 1600
So I modified the example code and changed :
void loop(){
step(true,1600*5);
delay(500);
step(false,1600*5);
delay(500);
to
void loop(){
step(true,160*5);
delay(500);
step(false,160*5);
delay(500);
and there it worked.
UPDATE 2:
I just found out another thing. When delivering power via the usb cable over Arduino the stepper just does half the steps and makes mechanical cracking noises.
When I unplugged the USB from the Arduino and connected a 12V DC to the MotorShield jack it worked again as it should.