It appears that the hudl has a bit of an issue with Wi-Fi networks that use WEP encryption. This can prove extremely frustrating if you have just unboxed your device and can't get past the Wifi Setup page.
Am I using WEP?
On the Wi-Fi list page you will see available networks:
NetworkName
Secured with WEP (WPS Available)
When you put in your key and connect it reloads and says something like:
NetworkName
Saved, Secured with WEP (WPS Available)
But it doesn't connect or proceed past the Wi-Fi selection screen, no errors or any further help. If you try and connect using WPS the device will give you an error message that WEP is not supported.
Solution
The only solution, at the moment, is to change your router to use WPA encryption, then your hudl will connect fine.