no problem selecting rotated guides here, zoomed to +1000%, using CS5 on Win
Have you tried to reset the preferences (lose down Illy and press Ctrl+Alt+Shift/Cmd+Option+Shift during startup (easy but irreversible), or Move the folder with Illy closed (more tedious but also more thorough and reversible))?
3 years later, I'd like to "bump" this post. I have tried resetting my Illustrator prefs. I can grab guides at 300% zoom, but not at 1000%. This is ridiculous, since I find that I have to do significant zooming in to get Illustrator to snap to the right objects correctly (often it pretends that it is snapping to the anchor, but if you zoom in, you see it doesn't actually do so. Would be good if they fixed this. It's been ongoing and obviously something the have neglected.