I ran into an interesting problem the other day and figured I’d share it with the Internet. One of our customers had a site collection setup for anonymous access and had noted that one of their sub sites was not respecting the anonymous setting. Basically you click on the sub site and it would then authenticate you. Permissions were being inherited from the root site collection so in theory the sub site should also be setup for anonymous. After some digging around I noticed the site collection admin had made changes to the master page on the sub site and did not publish it. Therefore the v4.master was set in a Draft state and SharePoint tried to authenticate the user since the anonymous user did not have access to the v4.master.
So long story short, if you ever run into a problem on a sub site where you can’t figure out why anonymous is broken – check out the master page to see if it is checked in or not.