First of all, you must determine if the gear is broken or the lights are broken.
Once you've determined that the lights are in working order, then you can trouble shoot the gear itself using the checklist in the plane.
If you've gone through the checklist in the plane, and you still don't have indication that the gear is down and locked, then there are many techniques that go beyond what's in the POH that rely on knowing how the gear works.
In some aircraft, the gear falls naturally using gravity, and is held down by a mechanical latch. If the gear fails to latch, then it is possible to slip the aircraft in the direction of the wheel that is not down. This will put the sideways slipstream on the gear, and could help to push it into the locked position.
If the nosewheel unfolds in the forward direction, it may be that slowing the plane to MCA can allow the nose gear to come forward and lock.
These are just a couple of examples, but knowing exactly how the gear works in your airplane will help you at a crucial time.