Here's an overview of one possible troubleshooting procedure fwiw, assuming all you own is a testlight or cheap multimeter:
1) start by confirming that the glow plugs are getting power. Sadly the light on the dash has nothing to do with power to the glowplugs. Multimeter or test light to the wide copper buss bar... turn the key on... you should have power for 5-20 seconds depending on engine temp.
2) if you *don't* have power, go upstream to the glowplug fuse... it's in a small plastic box on the firewall next to the brake booster. It loves to develop hairline cracks, so either test both sides with your multimeter/testlight or remove it and see if it falls apart in your hands.
3) if you still don't have power your next stop is the glowplug relay.... tall relay-looking device mounted on the fuse panel. Not easy to troubleshoot unless it looks physically damaged... swapping out with a good one is the quickest way
If in (1) you determined you are getting power to the glowplugs then they need to be tested individually. Unfortunately as they are wired in parallel the buss bar needs to be removed... not a fun job but it can be done. 8mm wrench and a magnet on a stick are your friends here. With the buss bar removed you can check for continuity at each plug individually... they usually fail open.
If you own a heavy duty current meter you can test the plugs pretty well with the buss bar on... I use a cheap NAPA meter:
Will all 4 plugs in working order you should see 50-60 amps dropping to 35-40 once they warm up a bit (assuming a nice strong battery). Anything less suggests one or more plugs have gone to meet their maker. Note that I'm giving pretty wide current readings... cheap gauges are not that accurate, different plugs draw different currents, and initial battery voltage has an effect as well.
One other suggestion: they are not that expensive *and* seem to go in short succession, so I always replace all 4 at once.... such a pain to get the buss bar off I only want to do the job once any given winter. :wink:
I keep meaning to do a HOW-TO on this one... 'course I'd need to track down a stock engine since mine have been pimped and would not make for good pictures. ;-)