Does it matter which 3-way switch I put a dimmer at on a 4-way circuit?
Was it a standard dimmer switch, rather than a 3-way one?

When replacing an on/off switch with a dimmer switch, you must make sure the type of switch (standard, 3-way, 4-way) matches.  They make all three types of on/off switches, but I've only ever seen standard and 3-way dimmers.  I figure the rarity of use for 4-way dimmers, combined with the rarity with which they would be purchased, make them not worth manufacturing.

Anyway, in a 4-way circuit (or more-way), you can replace either 3-way on/off switch (which will either be the first or last switch) with a 3-way dimmer.  But it must be a 3-way dimmer, not a basic dimmer.

I refer you to some excellent diagrams on wikipedia to see how multi-way circuits work.  Note the difference between how a 3-way and 4-way switch work.  If you can find a 4-way dimmer switch, you could replace any 4-way switch in a multi-way circuit with it.  Otherwise, it's either got to be the first or last switch.