A couple of things to check: do you have any other Snap To items set? Objects? Grid?
What are your grid settings?
Are you dragging your guidelines into place, setting them in the toolbar by decimal entry, or via the setup guidelines dialog? Guidelines can be entered to several decimal places. How close are you trying to place them?
If you are dragging your guidelines to an object, are you taking into account the thickness of the outline of the object?
A lot of questions, I know! ;-)