The red light should come on
until the igniter gets the burn going at which time it goes off. The red light indicates a failed burner condition and should be on until the burner actually lights. If, when you first flip the wall switch on, the red light does not come on, then your heater is not getting the signal to open the gas valve and spark the igniter until you have ignition. This could be as simple as a loose wire or a bad circuit board. I would first check the wires...if you look around the water heater inside (near where the valves are) you should see a little box screwed to the floor with 4 or 5 wires coming out of it and going through a grommet to the outside water heater parts (valve, igniter, thermostat). That little box houses the circuit board that controls the ignition, shut off and temperature of the water heater. Check the wires that go into the box (not likely the problem) and out of the box...the connectors are slip on at the box. The big red one on top is the igniter cable, the others are the control circuits. Those that go out of the box and through the wall most likely will have wire nuts and splices. Check the wire nuts...one may be loose, take them off check the wires for looseness or corrosion and re-attach the nuts. Hopefully that will take care of the problem...if not, you are probably looking at a new circuit board. If you have a tester, you can test for 12v at the switch in the wall and at the board's voltage input connection from the switch.
Hope the above helps...