If you have a recent Uno, be sure to connect to the USB connector.
Connecting to the barrel jack and/or Vin, 5V is not enough to power the regulator.
Connecting to 5V may damage the Uno's 5V regulator unless you add a diode from 5V to Vin (i.e. across the regulator) - see the LM1117 datasheet for a better description.
Page 12-13, para. 4.0