There are many possible reasons why you are getting no shadows... here are all the requirements for getting at least some shadow that I can think of off the top of my head.
(Well, to tell the truth, from somewhere inside it).

Some of these are stating the obvious, but still....

Shadows must be switched on in the render settings.
At least one light must have shadows switched on, either raytraced or depth map.
If using raytraced shadows, raytracing must be switched on in the render settings.
The light must illuminate an object that has Cast shadows switched on in its properties.
There must be a surface within the scene that the light would also be seen to illuminate if the object was not in the way. (Yes, I know... sorry!).

"If I were a shadow, I know I wouldn't like to be half of what I should be."
Mr Otsuka, the old black tomcat in Kafka on the Shore (Haruki Murakami)