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I suspect that this may be to do with the Ambient Data Framework filters. Nuno has given more information on the process herehere.
The 'Architecture' section of Ryan's UI 2012 Overview here may help too.
Hope it helps, Jon
[UPDATE 26/03/2013]
Albert's "Troubleshooting the SDL Tridion Experience Manager with Session Preview" article is very useful. On top of this, it can also be helpful to use Fiddler or the Firebug NET tab to view the requests that are being made from the browser when working with Experience Mananger