Mysql: modification in my.cnf doesn't take effect

Make sure the max_connections in under the [mysqld] section:

Ex:

[mysqld]
socket=/path/to/mysql.sock
datadir=/var/lib/mysql
max_connections=200

[client]
#mysql-client settings here..

Try running mysqld --verbose --help to see which configuration file is actually read by mysqld and which parameters and values are used. The output will look like this:

mysqld  Ver 5.0.51a-24-log for debian-linux-gnu on x86_64 ((Debian))
Copyright (C) 2000 MySQL AB, by Monty and others
This software comes with ABSOLUTELY NO WARRANTY. This is free software,
and you are welcome to modify and redistribute it under the GPL license

Default options are read from the following files in the given order:
/etc/mysql/my.cnf ~/.my.cnf /usr/etc/my.cnf
The following groups are read: mysql_cluster mysqld server mysqld-5.0

Variables (--variable-name=value)
and boolean options {FALSE|TRUE}  Value (after reading options)
--------------------------------- -----------------------------
...

To see what values a running MySQL server is using, type
'mysqladmin variables' instead of 'mysqld --verbose --help'.