Here are things to check:
Try sending yourself a message to test your account and server information. The message has to go out through your outgoing mail server and back into your incoming mail server.
Your account may be offline. Check mailboxes for the account to see if they appear in gray or are dimmed.
If a mailbox name appears gray
Choose Window > Connection Doctor and follow any instructions displayed in the Details column. Check if there are problems logging in to mail accounts or with the incoming mail server. If the Connection Doctor indicates a firewall problem:
Verify that there is no firewall software blocking network traffic.
Check whether you are affected by another firewall, either software installed separately from Mac OS X or built into an Internet sharing router, or administered by your ISP or network administrator. Contact the appropriate person to find out whether a firewall exists.
If you changed options (such as Use SSL or Authentication) in the Advanced pane of your Mail Accounts preferences, check with your ISP or system administrator for the correct settings.
Mail works with the following account types: POP, IMAP, .Mac, and Exchange (only if configured as an IMAP server). You cannot log in directly to any service that does not support POP or IMAP access and retrieve messages using Mail.