A common mistake we've seen in our classes--as well as from experienced 'solderers'--is to clean the tip before putting the iron back in its stand. This habit leaves the tip exposed to oxygen in the air which works quickly to oxidize (basically rusting) the end of the tip. Almost all metals oxidize in air, and they do so much faster at higher temperatures. When your tip is thoroughly oxidized, it will look burnt, and no solder will stick to it. And if solder won't stick to it, you won't be able to create a "heat bridge" of solder between the iron and part, and very little heat will transfer.
To avoid this, coat the tip with a large blob of solder every time before returning it to its stand. While flux in the solder gradually eats away at the tip, oxidation will cause problems much faster.
You may notice that new tips actually come coated with solder. We've seen manufacturer documentation recommending that you hold solder against a new tip the first time you heat it up so that the tip gets coated as soon as it's hot enough to melt solder.
Cleaning tip: If your tip is starting to look brown, and won't 'hold' solder, or the solder acts like water on a freshly waxed car, you can help restore it by repeatedly applying solder and wiping it off. The flux in the solder acts like a cleaning against against the built up oxides. It may take 20 or more cycles of this to get the tip back into shape.