Update: Eye-Fi has released a firmware update that fixes this issue.
If you shoot with a Nikon D800 or D800E and have been experiencing issues with wireless file transfers using Eye-Fi SD cards, it’s not just you: Eye-Fi has found that some aspect of the cameras’ SD slots make them incompatible with the cards.
Eye-Fi engineering has found and confirmed a compatibility issue with the Eye-Fi card that impacts the use of Direct Mode in the Nikon D800. We are currently investigating an issue with the D800’s SD slot that appears to contribute to a lack of steady signal while the Eye-Fi card is in Direct Mode which makes the Direct Mode feature incompatible with the camera. The Nikon D800/D800e passes all other wireless network tests and is compatible with wireless transfers via a wireless router.
Nikon currently lists Eye-Fi compatibility as a feature of the D800/D800E on their product pages — it might want to change that for the time being.