After upgrading my sites to WordPress 3.1, I found that some of my older custom themes were not displaying the new Admin Bar. I realized that these themes did not have the wp_footer() function in footer.php.
<?php wp_footer(); ?>
After adding this in (just before the closing body and html tags), the admin bar shows up fine. This function is used by some plugins as well, so it’s good to make sure you always add this into your themes.