Iain Murray had an interesting post yesterday discussing the results of a study that showed that relatively few members of the European Parliament (MEPs), who are elected via proportional representation, felt tied to their constituencies. While there are ways to circumvent this problem (lowering the district magnitude—the number of seats elected from a constituency—may help), there is a tradeoff: reducing the number of seats also reduces the proportionality of the system.
Overall, I think the most effective approach to PR is to combine it with single-member districts, using a relatively small number of proportionally-allocated seats to offset some of the bias in seat allocation caused by first-past-the-post elections, without undermining the link between representatives and their electors.
Matthew at A Fearful Symmetry has an interesting followup worth reading.