First off Read the damn rules. There are sticky threads where you can ask these questions. No need to create a new thread. Next time be careful. Consider yourself warned, Rameez.
1st scenario:
You have a PAL or a NTSC-UC console. Some games in the market are region locked and won't run on your PAL console. Region free ones like Fable 2, Gears 2, Prototype, Batman AA, ODST are region free and will run on your console whether its NTSC-J, UC or PAL. While there are some region locked ones like Fifa, Wet and Shift which don't run on PAL consoles. Check which region console you have. If its a region error then you'll get an error message saying so.
2nd Scenario:
You got have an outdated firmware. i.e. 1.4. You need ixtreme 1.6 to run wave 3 games that released after Riddick and H.A.W.X. If its 1.4 then when you insert a game in the tray it'll show the 360 logo as a movie and then stop.