If you receive a status message of “Unconfirmed” on your deposit and continue to see 0 confirmations after a prolonged period, then the most likely explanation is that a very low transaction fee was used by the sender of the deposit. The Ethereum network could also be under a particularly heavy congestion, due for example to an ongoing token sale.
Please use Etherscan.io or another relevant Ethereum block explorer to monitor the progress of the deposit.
When the gas price for your deposit is too low, the pool of minors who will select and add your transaction to a block is reduced, and it can therefore take longer. It is possible in some cases to replace the gas price on your transaction with a higher gas price, and reprocess it. However this is technically difficult, and most wallets do not offer this option.