Sorry for late answer.
First of all please make sure the email is not filtered to the spam or junk email folder.
- Try using another email address (preferably one with the same domain as your site)
- WordPress uses PHP mail. Perhaps your hosting does not have sendmail enabled. Please contact your hosting provider.
- Alternatively, you can use SMTP, which should always work.
You can use this plugin for example: http://wordpress.org/plugins/wp-smtp/
Setting up an external SMTP server, such as GMail should work. But GMail requires authentication.
SMTP Authentication: yes
SMTP Security: SSL
SMTP Port: 465
SMTP Username: your gmail full address
SMTP Password: your gmail password
SMTP Host: smtp.gmail.com