En el iPhone SDK no es posible cargar datos desde URLs externas (NSData, AVAudioPlayer, etc.). Todos los métodos initWithContentsOfURL ó *WithContentsOfURL  reportarán que no han leído nada… La única forma es utilizar la clase NSURLConnection e implementar varios métodos delegados que son los responsables de la descarga de datos empaquetados en un objeto NSMutableData. Ejemplo:

NSURLConnection *conn=[[NSURLConnection alloc] initWithRequest:request delegate:self]; 
NSMutableData *receivedData = [[NSMutableData data] retain]; 
 
Métodos delegados:

- (void)didReceiveMemoryWarning { 
    [super didReceiveMemoryWarning];
} 
 
- (void)connection:(NSURLConnection *)connection didReceiveResponse:(NSURLResponse *)response { 
    [receivedData setLength:0]; 
} 
 
- (void)connection:(NSURLConnection *)connection didReceiveData:(NSData *)data { 
    [receivedData appendData:data]; 
} 
 
- (void)connectionDidFinishLoading:(NSURLConnection *)connection { 
    NSLog(@”Succeeded! Received %d bytes of data”,[receivedData length]); 
    NSString *aStr = [[NSString alloc] initWithData:receivedData encoding:NSASCIIStringEncoding]; 
    NSLog(aStr); 
    [receivedData release]; 
}