In reply to EeeByGum:
Again, not wishing to patronise, but have you set everything up 'by the book' (e.g. Parktool Blue Book).
I did my MTB 9-speed system a while ago, setting the upper and lower limit screws. Getting the cable tension just right can take a bit of time. Plus, with all new cables and outers/ferrules, it can take a little while to bed in. The book describes setting cable tension by adjusting the cable adjuster so that the chain just starts to rub on the next larger sprocket, then backing off till it stops. Check this on every sprocket. The detail is more than I can remember here, but it was not a quick task and needed re-doing after everything had settled in after a couple rides.
Failing that, as others have said, it may be an indexing problem, or cable friction.
Hope that helps and good luck.
N