This can be a real PITA, because there are so many things that can be standing in the way of discovery.
Are you testing the result of the function call?
$yes=mail("me", "my", "wherever");
if (!$yes) {
echo "Mail failed!";
}
How else are you checking success?
There could be firewalls in the way, your mail could be flagged as spam by the receiving server (look into setting the "From:" line to something that's not likely to be considered an automatic mailer).
Try setting an "Errors-to:" header and see if you get a bounce to your inbox.
If it's an OS specific issue, then check your path to sendmail (if 'Nix) and if Windoze, make sure the proper SMTP host and port are noted in php.ini ...
Many 'Nix servers will run something other than Sendmail, and turn Sendmail OFF; some of these MTA's will alias themselves as sendmail and some may not... that could be it.
HTH,