I just wanted to follow up and report my findings. The problem is definitely not
with wtl but has something to do with the new Open/Save dialogs in Vista and the
amount of memory my App allocates. I am writing an editor for a graphics engine
which allocates a lot of CPU and GPU memory right from the get go. As I
commented out more and more of the memory allocating code the dialogs began to
open up correctly more frequently. I think that windows cannot get enough memory
to allocate the dialogs and then just hangs or does something else that makes it
take a long time to open. I know it sounds strange, and the App doesn't allocate
that much memory either.

Long story short, I gave up on the problem and ended up writing my own dialogs.
Turned out much better in the end, because I have to restrict the files dialogs
to a narrow project work space, which I never managed to do with the system
dialogs. So, problem solved...