Same problem here, just tried to initialize CPAN on two different systems, 1) A Macintosh running OS 10.5.8, and a CentOS 5.5 box. Both have not used CPAN yet on them, I get the identical errors on both of these systems. On the Mac I get this before the error.

Your ftp_proxy?  
Your http_proxy?  
Your no_proxy?  
You have no /Users/adam/.cpan/sources/MIRRORED.BY
  I'm trying to fetch one
CPAN: LWP::UserAgent loaded ok
Fetching with LWP:
  ftp://ftp.perl.org/pub/CPAN/MIRRORED.BY
[download]

On the CentOS box I get this (slightly diff tool used to download the MIRRORED.BY list)

Your ftp_proxy?  
Your http_proxy?  
Your no_proxy?  
You have no /root/.cpan/sources/MIRRORED.BY
  I'm trying to fetch one
LWP not available
CPAN: Net::FTP loaded ok
Fetching with Net::FTP:
  ftp://ftp.perl.org/pub/CPAN/MIRRORED.BY
[download]

Which obviously makes it seem that the problem is with the downloaded MIRRORED.BY file.