Em allexperts.com :
There are a few things you can check on:
Make sure that the second table doesn't have any rows marked as heading rows.
Make sure that neither table is wrapped (wrapping should be set to None on the Table tab of Table Properties).
Make sure that neither table (even if they appear identical) is nested in one large cell of a containing table (this sometimes happens with material pasted from the Web).
That said, I can tell you that I once had two tables--which I had created myself, so I know there was nothing unusual about them--that just refused to merge, for no apparent reason. It's possible that the table structures were somehow damaged, and if I'd been doing this in Word 2003, perhaps using Open and Repair would have fixed the problem. As it was, it wasn't vital that the tables be actually part of the same table, so I shrugged and moved on.
If you encounter such a situation, you have really only two recourses (if Open and Repair doesn't help):
Add rows to the first table and copy/paste the content of the second table into them.
Convert both tables to text, then convert all the text back to a single table.
Sorry I can't be more definitive, but this is a mystery to me, too!
Suzanne S. Barnhill
Microsoft MVP (Word) 1998-2006