Yes, there should really be lights. However, it may not be the Ethernet port itself, it could be a broken cable! Also you won't get lights until both ends of the cable are plugged in to working port.
Try taking the cable to your local computer shop and asking them if they can test it for you. If they're nice they'll do it for free. If it passes then you know that the problem is with one of your [Ethernet] ports.