Most likely that you have one of the following 3 main situations:
1) Bad antenna location. If you are in an apartment and a concrete wall is blocking your line of sight to the transmitter, you won't be able to get anything, until you get the building to permit a roof antenna.
2) Inferior antenna. Foil, opened paper clips, old style rabbit ears won't cut it with digital signals. Invest in a good digital-ready antenna.
3) Bad geographical location. You could be surrounded by mountains that are impeding your ability to receive the digital signals.
4) Bad or low-quality cable connecting the antenna to the box (such as the ones shipped with a few boxes or leftovers of yours, with 'push on' connectors, i cannot tell you how many times the box thought i had no antenna till i wiggled it. horrible) you need screw on higher quality coaxial cables.
5) Box is faulty, yes, not so uncommon to have a cheaper one end up bad out of the box. could also be a sub-par box itself which has less tolerance for those who live farther away from the transmitter.
6) antenna may not be aimed for the station, some places require the antenna constantly aimed for one channel or another, change channel get nothing till it is re-aimed. if so invest in a rotator.
7) antenna may or may not need a pre-amp. an amplifier is available at the retailers such as K-Mart or Best Buy which gives a boost to an antenna to get farther away stations. if you have an amp but get nothing either 1) you're too far away to receive them, or 2) the station is so close to you that the amp actually worsens it due to noise.