I am having this same error. I can tell you, it is not the host as I host with Hostgator and I have other MU sites working just fine.
I have the wildcard added to the subdomains in cpanel and point it to the root directory that wordpress is served from.
The main site works, all other sites created through the wordpress backend give success messages and I get emails, etc.
I visit the subdomain and I get just the words “Error establishing a database connection”. I can’t seam to figure this out, I guess I’m gonna wipe it all clean and try again – nothing else I try seams to fix the issue.
Anyone else have this issue, or a fix?