If you were once able to connect to your SFTP server from Dreamweaver but now suddenly you cannot and the error message is something useless like "An FTP Error Occurred - Cannot Make Connection to Host" then the likely cause is that the servers ssh host key changed. Why?
In my case, our hosting company built us a new VM and when we were ready to start using it, they reassigned the same IPs from the old VM to the new VM. We took this approach instead of changing the DNS entries because it would be less disruptive to our clients.
The problem is the SSH host is different and therefore the SSH host key is different. You can verify this by opening your SSH client and connecting to the new server (with the same IP address or host name). When the SSH client sees that the host file is changed, it presents you with a message asking you to accept it. As always, once you accept it, it adds an entry to your known_hosts file located in .ssh/known_hosts if you're on a Mac/*nix and somewhere else if you're on Windows.
This enables all SSH clients to work fine with your new host...except Dreamweaver. Dreamweaver, as it turns out, maintains it's own ssh_hosts file that needs to be updated and it WILL NOT tell you. It will simply "fail to connect" when it sees that the host keys don't match and like a freshman programmer, gives you no reason as to why.
On Mac/*nix the file is located in:
/Users/user.name/Library/Application Support/Adobe/Dreamweaver CS5.5/en_US/Configuration/ssh_hosts
Or, if you're using an old version of Dreamweaver somewhere in the Application Support folder. Look around, you'll find it.
DELETE IT! Or, remove the offending entry, like I did.
All better. Hope this helps. I plan on submitting a bug to Adobe.