WiFi: You must enable internet sharing too (if you don't have a wireless router)
It took me 12 hours of frustration to discover this, so I share it. If you don't have a wireless router, you will need to use your iMac as a router, so that your iPad can connect to the net through your iMac.
Turning on WiFi isn't enough, even if your iPad tells you that it is connected to your iMac's WiFi. It's lying!
You need to:
go to system preferences/sharing,
highlight 'internet sharing',
choose 'ethernet' under the menu which says 'share your connection from',
tick 'Airport' in the 'To computers using' menu, and
tick internet sharing in the left hand menu (where you highlighted it earlier).
When you have done that, check that the 'internet sharing' circle is green (i.e. on) rather than red (i.e. off).
Now and only now will your iPad be able to connect--provided that WiFi is connected on both machines.