What device do you have? Did your data ever work? If it worked at one time and doesn't work now, what changed since then? Did you get an OS update? Did you drop your device or get water damage?
What carrier do you have?
Is this a new device that is branded to your carrier, or is it an unlocked device that you want to use on another carrier's network? If unlocked, have you checked for the proper APN for data?
If it's a brand new device and data doesn't work, have you contacted your carrier to exchange it?