I just finished setting this up:
There are actually 4 lights chained together at the end rather than just one. Once I finished I turned the circuit back on and tried out the switches. All of them work as expected.
The only problem is the lights (all 4) will come on at full brightness for just a second then become very dim and remain there. What could be causing this?
EDIT: I did some more investigation. Everything works perfectly if I limit the wattage being pulled. It is currently working with 3 13W CFLs and 1 23W CFL. If I take out one of the 13W bulbs and put in another 23W or an incandescent light then the dimming behaviour returns. It's like there isn't enough power for all four bulbs.
This image belongs to do-it-yourself-help.com. The original wiring diagram can be found here: https://www.do-it-yourself-help.com/4_way_switch_diagram.html