It's possible that one or more of the leads to (or from) the LEDs has been guillotined during assembly.
I've seen several multi-LED torches now with that problem. The bottom of the reflector, or the body pass-through (depending on torch) has a sharp edge - during assembly, the wiring is twisted across the sharp edge.
The light may even work initially, then fail after just a short while - or it may arrive DOA, as in your case.
Further examination will require complete dismantling of the torch, so time to break out the soldering iron, and some de-soldering braid.....
I thought my soldering was pretty ropey, but I'm feeling a lot better about myself after seeing this ;)
I did try that, but I couldn't get it to budge (I was trying to be gentle though as I wasn't sure if it was supposed to unscrew). Having just tried again, either I'm weaker than I thought or it doesn't want to move.
I've not contacted the seller (DealExtreme), I was hoping to DIY fix it rather than go through their painful returns process. But needs must I guess, perhaps need to make a decision now before I start unsoldering things :)
So I made some progress in that I realised there's actually another part of the head of the light which un-screws. Unscrewing this has given me access to the driver itself.
In doing that, the problem is obvious - the board has been broken when the head has been screwed back on, it looks like a pretty crappy design.
Here's the section with the driver, showing how it was as I opened it: http://t.co/NBa46cKY
And here's after de-soldering the remaining leg holding the two pieces of the driver together: http://t.co/pv6TIp6P
I don't see how I can fix this myself as it looks like the copper tracks on the board are now missing, hence re-soldering it would not work, am I right?
..just me or the TR-J12 with LED's re-wired in series, equipped with either http://www.kaidomain.com/product/details.S020077 (cheap, but as it supports only 4 LEDs, center one would have to be disabled) or something like TaskLED Hyperboost (more expensive, but way more functional), and three A123 LiFePO4 26650's would be most lumens/$? :P
Surely it sounds just like a dream, but I'll try to implement that dream in reality as soon as I get it - it's marked as shipped for two weeks already, but China post has some weird randomness factor with delivery times - that KD driver (as well as six 26650's) arrived few days ago, while being ordered same day as flashlight.