And yet I have no problem at all with my Desire, Sensation, a laptop and a couple of other WiFi-related bits of kit.
That leaves the router as a variable (I'm assuming everyone's on the same Android release?) for those having problems and so far, that aspect has not been approached.
At least two posts reference this problem with public access points and that's something I have seen: with Android, Apple and a laptop when trying to use some of the free BT access points - because despite being "free" a password is required and without that, you just get an endless loop as described.
When my Sensation was upgraded to 2.3.4 the Orange app (plus password) was installed with it, allowing me to use BT Openzone systems.
Before that, when attempting to use BT Openzone, I also got the 3-step loop as described - and now I don't.
HTC Sensation - Orange UK; rooted