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Did you set the correct numbers in the XML for your contact lists? The ones in the example are just that -- examples -- yours may be different:

<ContactList id="http://api.constantcontact.com/ws/customers/' . $UN . '/lists/1" />' // Do this for all the lists you want to add to

The list number is at the end of the URI.

OK, I made the change, tried it, and no results. I don't even get an error message.

I checked for syntax:
No syntax errors detected in cc.php

I took a look at my list, and it looks like it's a listID 1:
...&action=list&listId=1&srchwithinlst=true

Here's the change to the code:

$entry = '<entry xmlns="http://www.w3.org/2005/Atom">
<title type="text"> </title>
<updated>' . date('c') . '</updated>
<author></author>
<id>data:,none</id>
<summary type="text">Contact</summary>
<content type="application/vnd.ctct+xml">
<Contact xmlns="http://ws.constantcontact.com/ns/1.0/">
<EmailAddress>' . $email . '</EmailAddress>
<FirstName>' . $first_name . '</FirstName>
<LastName>' . $last_name . '</LastName>
<PostalCode>' . $zipcode . '</PostalCode>
<OptInSource>ACTION_BY_CUSTOMER</OptInSource>
<ContactLists>
<ContactList id="http://api.constantcontact.com/ws/customers/' . $UN . '/lists/1" /></ContactLists>
</Contact>
</content>
</entry>';

It's not putting the contact into any of the lists, awaiting confirmation, nothing anywhere that I can find. I ran it from two different servers.

I would at least expect some response from cURL:

// Set cURL options
curl_setopt($session, CURLOPT_HTTPAUTH, CURLAUTH_DIGEST);
curl_setopt($session, CURLOPT_USERPWD, $userNamePassword);
curl_setopt($session, CURLOPT_POST, 1);
curl_setopt($session, CURLOPT_POSTFIELDS , $entry);
curl_setopt($session, CURLOPT_HTTPHEADER, Array("Content-Type:application/atom+xml"));
curl_setopt($session, CURLOPT_HEADER, false); // Do not return headers
curl_setopt($session, CURLOPT_RETURNTRANSFER, 0); // If you set this to 0, it will take you to a page with the http response

// Execute cURL session and close it
$response = curl_exec($session);
curl_close($session);

Does this code require PHP 5?
We are running PHP Version 4.3.11

The readme I just downloaded says "first make
sure that you have php5 enabled within your web server".
Do you have an API that works for PHP 4x?

I ran the script that I believe you are using that I found here using php 4.3.11 and it did not work

I then switched to PHP version 5.2.6 and the code works.

The following line of code requires PHP 5
curl_setopt($session, CURLOPT_HTTPAUTH, CURLAUTH_DIGEST);

I was able to add a contact using PHP Example for SiteVistorAPI which you can find here

While there is no reason that the APIs themselves won't work from PHP v4, we do not have a PHP v4 compatible sample at this time.

We currently do not have a working PhP 4 sample, php 4 does not support the curl_XXX functionality for this code to work correctly. This functionality was introduced in PhP 5.

Sorry Stefan,

I was referring to the curl_setopt() function which takes care of the entire authentication process and HTTP request process for you. In order to use PHP 4.0 you would have to write the code that does that yourself or use a PHP library created for 4.0. We are not planning on creating any 4.0 examples as PHP no longer supports or updates 4.0 and they are preparing to release 6.0 in the near future.

Might want to try adding this line to your options:
curl_setopt($session, CURLOPT_SSL_VERIFYPEER, 0);