A few things:
1) Some people only surge for like 12 hours, so you can miss your surge.
2) You should hold your pee and reduce liquid intake for at least 2 hours before using the test - the directions with your particular OPK will tell you more specific info.
3) Not all brands of OPKs work for everyone. The only brand that gives me consistent positives are the First Response ones.
4) If you use a monitor, it sometimes takes a couple of cycles to "get to know you" and actually start working. I like using the monitor because I can just use it first thing in the morning - no worrying about holding my pee or doing the test at work. Plus, it tests for LH hormone AND estrogen and can tell you further in advance when you are getting closer to ovulating - it (usually) gives you low, high, and peak readings.
5) For those who may not know, OPKs, PG tests, and fertility monitors can be bought with FSA money. Helps a little bit with the cost.