I can confirm this problem.

I had never used electrum before and tried a fresh installation on Mac OS X 10.8.5 (Electrum 1.9.5 and 1.9.6), and Xubuntu 12.04 (1.9.6), with two different internet connections.

Electrum always stays "not connected"...

Is there any problem with the auto-connect feature and/or the electrum servers?