Apparently Google have been making changes to GMail again, with the result that checkgmail might not be working properly.
It's still working fine on my Toshiba laptop, but strangely when I installed it on my Eee PC 1005 it repeatedly said "incorrect username or password".
According to the checkgmail Sourceforge page (http://checkgmail.sourceforge.net/) you can run <checkgmail -update> to upgrade to the latest SVN version which has fixed the problem.
This didn't work for me, but there is another workaround: run it with <checkgmail -no_cookies>. You lose some functionality but it does at least show you when you have new mail, along with the small preview window.