The Nikon D800 is Incompatible with Eye-Fi's "Direct Mode"

Nikon D800 users have reported the issue and Eye-Fi has confirmed it. Something about the SD card slot in the D800 makes it so that Eye-Fi cards will not work, at least to their fullest extent.

"We are currently investigating an issue with the D800's SD slot that appears to contribute to a lack of steady signal while the Eye-Fi card is in Direct Mode," says Eye-Fi, "which makes the Direct Mode feature incompatible with the camera."

If you don't use Direct Mode though, you won't have any issues. "The Nikon D800/D800e passes all other wireless network tests and is compatible with wireless transfers via a wireless router."

Eye-Fi Support