No gas: an empty tank, or the valve not open. Use a full, upright cylinder and check the joints with the leak test.
Turned too fast: turn the knob over 3 to 5 seconds so gas reaches the burner, and hold it 5 seconds after it lights (Essentials Guide; help centre).
US regulator tripped (opened too fast): disconnect it for 5 minutes, reconnect, open the tank valve slowly, and hold the knob in for 20 seconds after it lights (Essentials Guide; help centre).