I've had this problem too when I took a .vimrc from gVim for windows and used it with MacVim.
I noticed that the vi that comes with snow leopard complains about lines ending with ^M (aka carriage return, or "\r"). After converting the dos-style newlines to unix-style the problem was solved. (*)
MacVim does not complain about this, but apparently does have a problem loading the .vimrc when it contains dos-style newlines.
(*) - Dos/windows style new lines are composed of a carriage return and a line feed ('\r\n'), unix style newlines contain only a line feed ('\n').