We have investigated the absorption of surface acoustic waves (SAW's) by arrays of quantum dots as a function of electron concentration, temperature, and magnetic field, With no illumination, the measured transmitted SAW amplitude was largely independent of magnetic field, in all sizes of dots, suggesting that sidewall depletion had removed most of the free carriers. After additional carriers were introduced via an infrared light-emitting diode a broad amplitude minimum developed near B=0 in all cases, while the amplitude at high fields (similar to 10 T) approaches that of the unilluminated sample. The high-field (greater than or equal to 0.1 T) behavior is reasonably well described using a Fermi's golden rule model of resonant absorption when the magnetic-field dependence of the signal is proportional to the density of single-electron level crossings. Surprisingly, our measurements of transmitted SAW amplitude versus magnetic field were found to be strongly hysteretic upon reversal of the magnetic-field sweep direction. Experiments in tilted magnetic fields indicated that the two-dimensional quantum confinement of the dot is a key parameter and we propose that there are two components to the magnetic-field dependence of the SAW amplitude, a genuine field dependence of the attenuation for a dot with fixed-electron concentration, and a change due to a field-induced reduction in the electron concentration. The linear temperature dependence of the SAW attenuation coefficient at low temperature and zero magnetic field, appears to be consistent with recent theoretical predictions by Knabchen et al. [Europhys. Lett. 39, 419 (1997)] that, in our measurement regime, absorption will be dominated by Debye relaxation. When we analyze our results in this light we find the measured absorption to be three orders of magnitude larger than the theoretical calculation. [S0163-1829(99)01711-5].