I realize this is a rather old post, but it seems to still be reasonably active, and I thought I'd contribute a couple of points that have not yet been mentioned in other answers.
I will say that I agree with the benefits of dependency injection, but I do prefer to construct and manage the objects myself, using a pattern not unlike that outlined by Maxm007 in his answer. I have found two main problems with using 3rd party containers:
1) Having a 3rd party library manage the lifetime of your objects "automagically" can lend itself to unexpected results. We have found that especially in large projects, you can have vastly more copies of an object than you expect, and more than you would if you were manually managing the lifecycles. I'm sure this varies depending on the framework used, but the problem exists nonetheless. This can also be problematic if your object holds resources, data connections, etc., since the object can sometimes live longer than you expect. So inevitably, IoC containers tend to increase the resource utilization and memory footprint of an application.
2) IoC containers, in my opinion, are a form of "black box programming". I have found that in particular, our less experienced developers tend to abuse them. It allows the programmer to not have to think about how objects should relate to each other or how to decouple them, because it provides them with a mechanism in which they can simply grab any object they want out of thin air. Eg, there may be a good design reason that ObjectA should never know about ObjectB directly, but rather than creating a factory or bridge or service locator, an inexperienced programmer will simply say "no problem, I'll just grab ObjectB from the IoC container". This can actually lead to increased object coupling, which is what IoC is supposed to help prevent.