Why does my new replacement pull-out kitchen faucet sprayer leak?
I've been known to follow hand tightening instructions in spirit but ignore them in practice.  After getting it fairly tight by hand, I give it another quarter turn or so with a wrench.  Use your best judgment, the goal is to get it water tight and secure without breaking the fragile parts.

Disclaimer: I've also been known to go toilet shopping after realizing my best judgment was a bit too aggressive. :)