Update on GoDaddy Transfer Issues
I also ran into a problem with GoDaddy when trying to transfer a domain name that was protected by Domains by Proxy. I first got a notification that I needed to enter into a new agreement, so I did. Then I got a notification that I needed to cancel my private registration, so I did. Then I got this:    "The transfer of MYDOMAIN.ME from Go Daddy to another 
    registrar could not be completed for the following
    reason(s):

    Express written objection to the transfer from the 
    Transfer Contact. (e.g. - email, fax, paper document or
    other processes by which the Transfer Contact has
    expressly and voluntarily objected through opt-in
    means)."

So it looks like they're auto-rejecting domain transfers if you're using Domains by Proxy?