There are basically two sources of error:
Make sure that the email address is set in your contact form's settings. Even if it's already set, click on "save and close" in your contact form's settings to ensure that your settings are actually saved.
The messages are caught in your SPAM or junk mail folder (e.g. Hotmail). To prevent future emails from being marked as SPAM, add firstname.lastname@example.org to your contacts.