Have you tried white noise, such as a ceiling fan? We had a clock radio that we bought at Bed, Bath, and Beyond that also had 'nature sounds', so for several weeks we turned on 'the ocean' when we put our baby down. One day, we stopped it cold turkey and he was fine. There is also a cd called "For Crying Out Loud" that you can buy from babycenter.com or barnes & noble, etc.
At first, our son also wouldn't fall asleep in the crib. From about 3 weeks - 8 weeks he slept in his room, but in the vibrating bouncy chair (on the floor, of course). At 2 months we decided to transition him to the crib and bought one of those 'sleep positioner' things from Babies R Us. It looked like a little ramp with bumpers on the side to give him that 'close' feeling. We were petrified that we would have to spend a huge amount of time soothing him but much to our surprise he went right to sleep.
If you don't already have a routine for bed, establish one. Do the same thing every night - turn on lullaby cd, change diaper, put on pajamas, feed bottle, rock if needed, then put in crib (or swing, or wherever he will be sleeping). He will get used to the consistent routine and likely catch on. At first, we had to do a LOT of the rocking (30 mins or so) before putting him down, but now when he is finished with the bottle and burping, he goes in the crib awake and then falls asleep on his own.
Be consistent but patient - teaching him how to sleep is a wonderful and healthy thing for you to do. He will get it eventually, so hang in there!
BTW - We have never had to cry it out (although I'm not opposed to that, but at later ages) using these techniques and the longest I ever was in there rocking him was 30 minutes TOPS.