I had to replace the shutoff valve under my sink. So I removed the copper ferrule and nut and put on the new nut and ferrule. The new ferrule seems a little loose on the pipe and I can't seem to tighten the nut enough so it won't leak. Is there anything I can do?

Chances are you could have left the old brass ferrule and nut on the stub and reused it. You must have cut off the old one because usually they can't be removed once tightened. Ferrules only come in certain sizes. Slide the ferrul further up the pipe, does it ever tighten? If so you may have deformed the pipe when cutting off the old. Compression fitting - Wikipedia, the free encyclopedia (http://en.wikipedia.org/wiki/Compression_fitting)

Ive used teflon in the past, as long as your sure that your getting a tight fit, wrap the teflon around the ferrule a few times, then tighten the nut onto the valve. Check for leak! Goodluck!