Lamps in Blender Render
In Blender Render you can turn Halo on, and the light will be visible to the camera.
Lamps in Cycles Render
You can't see lamps if you are using Cycles Render. That's one of their defining qualities. Here is a quote from the Blender wiki:
"Next to lighting from the background and any object with an emission shader, lamps are another way to add light into the scene. The difference is that they are not directly visible in the rendered image, and can be more easily managed as objects of their own type."
So, if you need a visible light source in Cycles, use either mesh lights (i.e. meshes with an emissive material) or for example an HDRI with a studio lighting setup.
New Experimental Cycles Volume Scatter Feature
The only other way you can see the light source in Cycles is with the new Volume Scatter: http://wiki.blender.org/index.php/Doc:2.6/Manual/Render/Cycles/Materials/Volume
Just to give credit where credit is due, all the information I've listed here I have gotten from the Blender Developers and members of BlenderArtists.org, which also is a great knowledge base for everything Blender-related. Here's the question I asked about lamps: