A Nicaraguan friend of my sisters' was just apprehended at Barajas Airport in Madrid, Spain despite possessing the ticket for a connecting flight to Vienna, Austria. Apparently he not only needs a letter but it has to be confirmed by a solicitor and submitted to the responsible authority (we haven't found out which yet) in advance ... sending a fax or offering to bring it to Madrid personally won't do him any good and he's likely to get deported back to Costa Rica where he boarded the flight (one of those circumventing the US in order to save trouble)
Update: no intervention was possible, even a friend in Madrid offering to sign the Carta and bring forth the money couldn't save him from being deported. (Of course it's a win-win situation for the airline since he's not likely to take advantage of his original return ticket)
Apparently it's all described at
http://www.parainmigrantes.info/, but the Austrian websites were less than clear in bringing across the point that "no visa necessary" wasn't a good thing.