The emergence of Grid infrastructures like EGEE has enabled the deployment of large-scale computational experiments that address challenging scientific problems in various fields. However, to realize their full potential, Grid infrastructures need to achieve a higher degree of dependability, i.e., they need to improve the ratio of Grid-job requests that complete successfully in the presence of Grid-component failures. To achieve this, however, we need to determine, analyze and classify the causes of job failures on Grids. In this paper we study the reasons behind Grid job failures in the context of EGEE, the largest Grid infrastructure currently in operation. We present points of failure in a Grid that affect the execution of jobs, and desc...