1.  Make sure the light has power supplied to it.  Because the PTO light turns on by means of a "grounding" switch down on the PTO, it's supposed to have power supplied to the light fixture in the dash all the time, whether or not the light is on. 

2.  Make sure the light fixture itself has not failed.  PTO lights get whacked a lot.  See if the bulb has burned out, or if the socket the bulb fits into has wires or contacts that have come apart.  Test the light fixture by isolating it from the truck, then grounding one wire and energizing the other wire.  The light should come on.  I frequently see PTO lights that light up fine, but the bulb and socket receptacle have fallen out the back of the light fixture, leading one to think the light doesn't work.

3.  Make sure the wire has not come apart between the light bulb and the PTO.  If you've made sure the light fixture in the dash has power supplied to it, and you're satisfied the light fixture has not failed, but the bulb still does not light up when you engage the PTO, then make sure the wire between the light fixture and the PTO has not come apart.  This wire goes down under the truck where road debris and a harsh environment often dislodge the wire from the single terminal it attaches to on the PTO light switch.  This part of the PTO light circuit -- the part between the light fixture in the dash and the PTO on the transmission -- serves to ground the light bulb when the PTO is engaged and make the bulb light up.  This part of the circuit is not always supposed to be "hot," but the wire in this part of the circuit does need to be connected, not broken.  

4.  Make sure the PTO light switch on the transmission has not failed.  The six-sided PTO light switch, which screws into the PTO shift cover on the transmission, looks like a large hex bolt head with a single electrical terminal in its center.  On some PTOs, the PTO light switch fits into a recessed hole so all you can see is its electrical terminal.  The PTO light switch grounds the PTO light and thus makes it light up.  A failing PTO light switch will sometimes make the light come on and off when you move the PTO cable one-quarter inch up and down

PTO light switches come in two flavors:  normally closed (black plastic center) and normally open (white plastic center).  If the PTO light comes on when it's supposed to be off and goes off when it's supposed to be on, install the other color.  

5.  Consider the possibility that the PTO light circuit is OK, and mechanical failure in the PTO is what's causing the light to fail to come on.  For example, the PTO cable shift cover could be missing parts inside.  Or, on air-shift PTOs, a failure of air supply could make the PTO engage less than all the way.