I know there is a problem with the fuel check valve on some cars. It fails, allowing the fuel in the lines to drain back into the tank when the car is off.
If you cycle your fuel pump before starting by turning the key on/off a few times, does it fire right up? If so, you need the fix that one of the guys here came up with that keeps your pump running for 10 seconds instead of the usual 2. This primes the lines so that they don't have to be primed while the engine is cranking. I'll see if I can find reference to it and get you a link.