Are you rooted? Are you on Froyo or Gingerbread? Are you running a custom rom? Do you have any control widgets active on your homescreen? Do you have Settings>Sound>Vibrate>Always? And in that same area you have pressed Volume and the volume sliders are not all the way down? If they aren't when you move them does a sound play? Man there is a lot of troubleshooting that could go on for this one... Are you trying to use a custom or stock ringtone?