It's one of the biggest frustrations, but it happens more often than you think, the main reason is that links aren't a magic formula with immediate cause and effect, google needs time to discover these new links, reassess your site's authority, and decide if they're truly worthwhile, it can take weeks or even months from when you acquire a good link until you see a movement in your rankings. It's not that it's not working, it's just that the process isn't finished yet.
Another very common possibility is that your links are of low quality, even if they look good at first glance, a link from the homepage of a site with real traffic is not the same as a link buried on a blog page with no visits, the context surrounding the link also matters a great deal, if it comes from an article on your same topic, it's worth much more than if it's in a friends list on an unrelated site, google today understands very well whether a link is genuine or if it seems like a transaction to manipulate search results.