Remember the golden rule: If so many things are wrong that you fail to understand how they can be so wrong, check the ground connections
Also, make sure the regulator isn't getting hot when it's sitting regulating voltage w/o load (and with load as well) because the LM317 has thermal overload protection to protect fools from themselves. If it is getting hot, use a heat sink, even an alligator clip on the top may do the trick! Remember, the bigger the difference between the input and the output voltage, the more heat is going to be dissipated. So, if you're regulating 30 volts down to, say, 9 volts, you'll be putting out a lot of heat even under a small load.
One more thing, look at *THEIR* example circuits on the data sheet ("they" being the makers of the voltage regulator) and compare them with yours.
If all else fails and you're sure your circuit is correctly wired (or you've corrected any "mistakes") then it's possible that the regulator is broken (age, prolonged overheating, incorrectly wired on power-up, etc.)
Often when I'm shopping for electronic components, if they're cheap enough, I'll get one more than I need in case I break one.