I am in this situation too.
My Arduino is the UNO R1.
I have the MPU6050 on the GY-521 Breakout Board, tough mine is a little different from the default GY-521:
When I use the Arduino Playgroud Code, I receive all the RAW Data, with values that appear to be real, and change consistently with the sensor movement.
But when I use the RAW FreeIMU code, it give me NaN (not a number) for all values, and the DMP code give me "Connection Failed".
The pins are correctly connected, with INT disconnected and 5V supply.
The I2C scan give me 0x68, so I did not change anything in the code.