Are you drawing things in the right Z-sorted order?
Are you drawing alpha blending with Z turned on or off?
What if you use SaveStateMode.SaveState when you Begin() the effects for the particle system?
In general, for this kind of problem, you absolutely want to use PIX for Windows to debug it. Rather than us guessing at the hundreds of render states that may be the culprit, for you to simply open up the shader and debug it, and then open up the graphics device and inspecting all states (textures, blend states, etc) is going to be a lot faster!
Jon Watte, Direct3D MVP
Tweets, occasionallykW X-port 3ds Max .X exporter
kW Animation source code