It's not a common problem as I have had a few of the lights and they have all been problem free. Depending on your ambition and location, it might just be easier to go back to the retailer and swap it for a new one. If you do want to trouble shoot it, here's how to go about it. First you have to identify if the problem is with the bulb or the light body. If you take the light apart and separate the bulb from everything else. Just connect 2 AA batteries directly to the bulb and see if it lights. If it doesn't.....its a bad bulb. If it lights dependably, you have a bad connection in the light body. If you have a multi-meter you'll just have to find where the circuit is broken.
Like I said..it might just be easier to replace it with a new one.