Why won't GFCIs indicator light show on plug?
As @Tester101 said, not all GFCI's have lights that display in the normal (as opposed to the tripped) state.

If the test and reset buttons work as expected, you're probably fine.

If you want to be absolutely sure, get a GFCI tester (US$5 or so). If the tester's lights say you're hooked up correctly, and tapping its button trips the GFCI, you're fine.