I would get your handy volt meter out and check the power from the plug. Most likely you won't see any but it's worth a quick check. If you do it is possible the new bulb is bad or the contact in the plug just isn't making a connection. If you don't have power there it's time to start checking the wiring.
If normal halogens, try swapping the bulbs from left to right (or high beam and low beam) to see if problem follows the bulb. If it is only the one light location check the connection and socket (as people have already said).
If you have Xenon lights, have a separate transformer that can go bad.
