the correct fontName is @"HelveticaNeue-UltraLight".
use something like this to get a nicely formatted list of available font names:
NSMutableString *str = [NSMutableString stringWithCapacity:1000];
for (NSString *familyName in [UIFont familyNames]) {
    [str appendFormat:@"%@\n", familyName];
    for (NSString *fontName in [UIFont fontNamesForFamilyName:familyName]) {
        [str appendFormat:@"    %@\n", fontName];
    }
    [str appendString:@"\n"];
}
NSLog(@"%@", str);
this is the current list for iOS5.1:
Thonburi
    Thonburi-Bold
    Thonburi
Snell Roundhand
    SnellRoundhand-Bold
    SnellRoundhand-Black
    SnellRoundhand
Academy Engraved LET
    AcademyEngravedLetPlain
Marker Felt
    MarkerFelt-Wide
    MarkerFelt-Thin
Geeza Pro
    GeezaPro-Bold
    GeezaPro
Arial Rounded MT Bold
    ArialRoundedMTBold
Trebuchet MS
    TrebuchetMS
    TrebuchetMS-Bold
    TrebuchetMS-Italic
    Trebuchet-BoldItalic
Arial
    Arial-BoldMT
    ArialMT
    Arial-ItalicMT
    Arial-BoldItalicMT
Marion
    Marion-Regular
    Marion-Bold
    Marion-Italic
Gurmukhi MN
    GurmukhiMN
    GurmukhiMN-Bold
Malayalam Sangam MN
    MalayalamSangamMN-Bold
    MalayalamSangamMN
Bradley Hand
    BradleyHandITCTT-Bold
Kannada Sangam MN
    KannadaSangamMN
    KannadaSangamMN-Bold
Bodoni 72 Oldstyle
    BodoniSvtyTwoOSITCTT-Book
    BodoniSvtyTwoOSITCTT-Bold
    BodoniSvtyTwoOSITCTT-BookIt
Cochin
    Cochin
    Cochin-BoldItalic
    Cochin-Italic
    Cochin-Bold
Sinhala Sangam MN
    SinhalaSangamMN
    SinhalaSangamMN-Bold
Hiragino Kaku Gothic ProN
    HiraKakuProN-W6
    HiraKakuProN-W3
Papyrus
    Papyrus-Condensed
    Papyrus
Verdana
    Verdana
    Verdana-Bold
    Verdana-BoldItalic
    Verdana-Italic
Zapf Dingbats
    ZapfDingbatsITC
Courier
    Courier-Bold
    Courier
    Courier-BoldOblique
    Courier-Oblique
Hoefler Text
    HoeflerText-Black
    HoeflerText-Italic
    HoeflerText-Regular
    HoeflerText-BlackItalic
Euphemia UCAS
    EuphemiaUCAS-Bold
    EuphemiaUCAS
    EuphemiaUCAS-Italic
Helvetica
    Helvetica-LightOblique
    Helvetica
    Helvetica-Oblique
    Helvetica-BoldOblique
    Helvetica-Bold
    Helvetica-Light
Hiragino Mincho ProN
    HiraMinProN-W3
    HiraMinProN-W6
Bodoni Ornaments
    BodoniOrnamentsITCTT
Apple Color Emoji
    AppleColorEmoji
Optima
    Optima-ExtraBlack
    Optima-Italic
    Optima-Regular
    Optima-BoldItalic
    Optima-Bold
Gujarati Sangam MN
    GujaratiSangamMN
    GujaratiSangamMN-Bold
Devanagari Sangam MN
    DevanagariSangamMN
    DevanagariSangamMN-Bold
Times New Roman
    TimesNewRomanPS-ItalicMT
    TimesNewRomanPS-BoldMT
    TimesNewRomanPSMT
    TimesNewRomanPS-BoldItalicMT
Kailasa
    Kailasa
    Kailasa-Bold
Telugu Sangam MN
    TeluguSangamMN-Bold
    TeluguSangamMN
Heiti SC
    STHeitiSC-Medium
    STHeitiSC-Light
Apple SD Gothic Neo
    AppleSDGothicNeo-Bold
    AppleSDGothicNeo-Medium
Futura
    Futura-Medium
    Futura-CondensedExtraBold
    Futura-CondensedMedium
    Futura-MediumItalic
Bodoni 72
    BodoniSvtyTwoITCTT-BookIta
    BodoniSvtyTwoITCTT-Book
    BodoniSvtyTwoITCTT-Bold
Baskerville
    Baskerville-SemiBoldItalic
    Baskerville-Bold
    Baskerville-Italic
    Baskerville-BoldItalic
    Baskerville-SemiBold
    Baskerville
Chalkboard SE
    ChalkboardSE-Regular
    ChalkboardSE-Bold
    ChalkboardSE-Light
Heiti TC
    STHeitiTC-Medium
    STHeitiTC-Light
Copperplate
    Copperplate
    Copperplate-Light
    Copperplate-Bold
Party LET
    PartyLetPlain
American Typewriter
    AmericanTypewriter-CondensedLight
    AmericanTypewriter-Light
    AmericanTypewriter-Bold
    AmericanTypewriter
    AmericanTypewriter-CondensedBold
    AmericanTypewriter-Condensed
Bangla Sangam MN
    BanglaSangamMN-Bold
    BanglaSangamMN
Noteworthy
    Noteworthy-Light
    Noteworthy-Bold
Zapfino
    Zapfino
Tamil Sangam MN
    TamilSangamMN
    TamilSangamMN-Bold
DB LCD Temp
    DBLCDTempBlack
Arial Hebrew
    ArialHebrew
    ArialHebrew-Bold
Chalkduster
    Chalkduster
Georgia
    Georgia-Italic
    Georgia-BoldItalic
    Georgia-Bold
    Georgia
Helvetica Neue
    HelveticaNeue-Bold
    HelveticaNeue-CondensedBlack
    HelveticaNeue-Medium
    HelveticaNeue
    HelveticaNeue-Light
    HelveticaNeue-CondensedBold
    HelveticaNeue-LightItalic
    HelveticaNeue-UltraLightItalic
    HelveticaNeue-UltraLight
    HelveticaNeue-BoldItalic
    HelveticaNeue-Italic
Gill Sans
    GillSans-LightItalic
    GillSans-BoldItalic
    GillSans-Italic
    GillSans
    GillSans-Bold
    GillSans-Light
Palatino
    Palatino-Roman
    Palatino-Bold
    Palatino-BoldItalic
    Palatino-Italic
Courier New
    CourierNewPSMT
    CourierNewPS-BoldMT
    CourierNewPS-BoldItalicMT
    CourierNewPS-ItalicMT
Oriya Sangam MN
    OriyaSangamMN-Bold
    OriyaSangamMN
Didot
    Didot-Italic
    Didot
    Didot-Bold
Bodoni 72 Smallcaps
    BodoniSvtyTwoSCITCTT-Book