Yes, ambient lights don't display bump maps... don't use an ambient light. An ambient light will not give you shades or highlights either, it flattens everything out. Although there are many much more skilled lighters on these forums, I'd recommend using 3 directional lights, 1: key light with higher intensity 2: fill light with lower intensity to lighten up any strong shadows 3: rim light with lower intensity from behind your object to make it stand out a bit more.
Or, you could dive into things like Global Illumination and Final Gather, but I can't really give a tut of those here (can barely grapple with them myself).
Dave: Allow me to respectfully disagree... I don't think actually displacing geometry would be necessary for a pile of sand... a bump map should be all that's required to give it some nice texture. Just my opinion, and displacement maps are harder to handle for beginners (like myself