I build a device that used the circuit outlined here: http://arduino.cc/en/Tutorial/Midi
It 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.
There are lots of rubbish tutorials on the net and quite as few on this site. This is an example of one. It is a very poor circuit and does not meet the MIDI spec. However it is good enough to work with many MIDI devices out there so this sort of thing gets perpetuated.
In fact for a good circuit you need a transistor to get the output impedance right. This circuit is good:-