What Arduino are you using?
Have you tried to use the ESP8266 directly with the computer? Are you sure it expects a baud of 9600? And does it respond to your AT messages?
If you are using a 5V Arduino, are you using a decent 3.3V power supply, with decent decoupling capacitors? And you are using a 5V to 3.3V level shifter on the Arduino's TX line, right? If not, you've probably fried your ESP8266 ...