Have you created your MySQL database? You need to do that under “Goodies” in the panel.
Are you sure you’ve got the database name, database username and password set correctly in your wp-config.php file?
Also, the DB_HOST value must not be “localhost”, but the hostname of your database - see your panel.
You could also try the WordPress support forums - http://wordpress.org/support/
Currently trying out Dreamhost with WordPress 1.5 beta, main site will move here when I’m really really really sure