Internet Explorer has a 31 file limit on stylesheets. So, if you've got 242 CSS files like some Drupal sites out there, then 210 of them won't load, and your site will be this funky combination of some CSS, but not all of it.
John Albin as put together a nice writeup on the issue, along with possible solutions for Drupal sites. He also built the IE CSS Optimizer module that solves the problem for Drupal sites by aggregating the more static stylesheets into one to free up the other slots for theme building and such. Here's a link to the discussion of this problem on drupal.org (299 comments!).
Now, this has already been written about a bunch, but it took me a minute or two to track down some good links to pass onto a client, so I'm throwing this up in the hopes that it helps someone else. The first time I ran into this issue, it took me HOURS to figure it out.