Terminal "Permission Denied" - Need more info on error message
As eldarerathis already mentioned: On many (if not most) devices supporting an SD card, this card is mounted with the noexec option -- which means as the name suggests: "no exec from here", i.e. you cannot execute anything from the sdcard.

Again, one solution was already mentioned by eldarerathis: Try a different storage. You've got the power, your device is rooted.

A second approach would be to re-mount the sdcard without the noexec option. But there's a good reason why noexec is used here; it at least offers an additional level of security. So before using this approach, you should research a bit whether it might trigger unwanted side-effects.