As someone that has cracked open mammalian cells (tissue and cultured), plant cells, bacteria, yeast, etc, I can attest to the fact that it can be quite tricky to get through the outer membrane of yeast. In addition Pichia is one of those organisms that happens to get used mostly in industry, so protocols for its manipulation are limited at best. The fact that Pichia's genome was just sequenced last month (Nature Biotechnol, June 2009) emphasizes this fact.
The standard way of electroporating Pichia is to follow the Invitrogen protocol, which is copied pretty much verbatim here. There are many other protocols available, but by far the most important consideration is the fact that you should use fresh Pichia competent cells. If you are trying to store your competent cells and then thawing them before use, then very likely the variation you are seeing in your experiments is due to the fact that Pichia do not store well. Prepare them fresh every time you need them.
Good luck