In order for godrays to appear, you need to be sure and set the sunlight type to Volumetric sunlight(7) and check the Godrays checkbox (not really necessary as Volumetric sunlight forces Godrays on– but it’s a good habit and won’t confuse you later). Without Volumetric sunlight, you can’t have godrays.

I've been spending an inordinate amount of time working with godrays lateley, and will be posting a bunch of pretty nice godrays images soon, but in the meantime, you can check out my blog for the rest of the above tutorial on godrays.