Setup: Apache; PHP 5.2.9; libevent (for memcached it\'s required) version 1.3; memcached server version 1.2.2 (tried 1.4.5, 1.4.0, now downgraded to 1.2.2,
I would talk to your sys sadmin. I think the there maybe a firewall involved.
To whom it might be interesting.
Issue resolved.
Here is where problem was(maybe it would help authors from 2 related treads).
On shared hosting sometimes you shouldn't use 127.0.0.1. Instead, use site's IP address.
So changing
memcached -d -m 1024 -u root -l 127.0.0.1 -p 11211
to
memcached -d -m 1024 -u root -l 123.456.789.123 -p 11211
and PHP code from
$memcache->pconnect("127.0.0.1",11211);
to
$memcache->pconnect("123.456.789.123",11211);
fixed the issue.
Thanks everyone!