The first thing you have to check is if there are any objects on the Outliner Window.

If there are, that means that you've successfully imported something. Then is just a matter of finding where it is and at what scale it was imported.
Select the object in the outliner and pres Numpad Period to center the display on the object.
You might need to adjust the Clipping Distances on the 3D viewport's properties panel (N) if the object is too large or too small:
Blender 2.8x

Blender 2.7x

Sometimes the mesh can far away from the actual origin of the object. In that case it might take a bit longer to find the geometry, as the Numpad period will center the view on the origin. In that case you can enter Edit Mode Tab, press A to "select all" of the geometry and press numpad Period again this time to center on the selected vertices.
Read: Unable to see anything after importing .obj file and obj file not displayed properly