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?
I think there is an issue with the auto-connect being default. If that host is down, it won't connect, and there is nothing you can do to change to other servers.
All I do is close and relaunch, and it seems to magically connect, sometimes after a couple of events.
Been stable the last few days though.