You do know a LED is polarity sensitive? Is it in the right way around?
And second possibility, isn't that one of those breadboards with an annoying break in the bars at the sides. Aka, try to put all connections into the same block (or use a DMM to check continuity over the full length).
Unfortunately I don't have a DMM around, but after some testing I figured it out. The two jumper wires I used both seem to be broken. I don't know what the odds are since it's a brand new kit and those were the first two wires I picked, but I'm glad it's working now.