There have been a number of questions recently (well OK, three) on the beta newsgroups about SqlDependency problems. It's been suggested that SqlDependency doesn't work in Whidbey Beta 1.
The reason for this is that SqlDependency (and, of course, its lower-level cousin SqlNotificationRequest) requires a “valid” notify-able SQL query to work. What's a “valid” notify-able query for a NotificationRequest? Subscriptions for query notification in SQL Server 2005 use the same underlying mechanism to be notified of resultset changes as indexed views do. Therefore the rules are the same as the rules for indexed views.
Since the example in our “First Look at SQL Server 2005 for Developers” book also uses an invalid query (it doesn't use a two-part table name), I posted the rules for indexed views (and therefore for SqlNotificationRequest/SqlDependency on the book website, under “changes since the book shipped/chapter 12”. It seemed that you could “get away with” not always following the rules until SQL Server 2005 Beta2. The list of rules is from the SQL Server 2005 Beta 2 Books Online.
By the way, if you submit an invalid SELECT statement with a SqlDependency, you'll get an immediate notification with the reason (in SqlNotificationEventArgs) “invalid”.