I never saw much of a connection -- other than risk-taking -- between the two myself. One is a cigarette type thing, eminently familiar, the other, a Big Scary Honking Needle, And You Don't Know Where It's Been.
The federal government's last National Survey on Drug Use and Health, conducted in 2004, counted about 97 million Americans who have tried marijuana, compared to 3 million who have tried heroin (166,000 had used it in the previous month). That's not much of a rush through the gateway. And a number of studies have demonstrated that your chances of becoming an addict are higher if addiction runs in your family, or if heroin is readily available in your community, or if you're a risk-taker. These factors can account for the total number of heroin addicts, which could make the gateway theory superfluous.