It takes up to two weeks to develop effective immumity after a flu shot (
PDF from CDC). If you got the flu within a week of getting the shot, you definitely got it the old fashioned way. The vaccination just hadn't taken root yet. Also possible you caught a strain that wasn't on that year's seasonal dance card. You can't really get the flu from a flu shot, though, since it doesn't contain viruses. Just little bits and pieces of them.
Thanks for that info in #14. My memory is hazy whether it took days, a week or two weeks or more between my flu shot and when I actually came down with flu symptoms. I realize I could have caught it the old fashioned way...
So far, I'm going to take my chances with this year's seasonal flu and H1N1. I don't plan to get either vaccine...