When trying to use EC2 Connect, if you have the security group of your EC2 instance set so that SSH (port 22) set to My IP, then EC2 Connect will not work. You have to go this IP address (https://ip-ranges.amazonaws.com/ip-ranges.json) and do a search for EC2_INSTANCE_CONNECT for the region of the instance you want to SSH into and add to your inbound security group (SSH port 22).
EC2 Connect will then magically work.
John Enad's Blog 