The first thing to check, as said above, is whether there's good electrical connection.
I had a cheap 10mw that was intermittently working when new. When I took it apart, I found that there was a very poor pathway from the positive battery end to the laser diode. It had to go through the following:
- battery to switch (nickle to tin/lead)
- switch contacts (unknown)
- switch to encap (unknown)
- endcap to main body (aluminum to aluminum)
- main body to front body (aluminum to aluminum)
- front body to laser module (aluminum to brass)
- module case to laser module (brass to brass)
The main culprits in my case were the last two, plus the switch; but as you can see there are many possibilities. The Al/Al and Al/brass are the worst, potentially.
one added note: when selecting a cheap laser, it might be better to choose one with a switch on the body rather than on the endcap. The body switches are usually actually on the circuit board so the electrical path is cleaner; and even cheap ones are likely higher quality than cheap endcap switches.
DanQ