You might have a theme where comments.php is not coded properly.
Wordpress version matters.
(WP2 series) Your theme must have a tag
<?php do_action('comment_form', $post->ID); ?> inside the file
/wp-content/themes/[your_theme]/comments.php
Most WP2 themes already have it. The best place to put this tag is before the comment textarea, you can move it up if it is below the comment textarea.
(WP3 series) WP3 has a new function comment_form inside of
/wp-includes/comment-template.php
Your theme is probably not up-to-date to call that function from comments.php.
WP3 theme does not need the code line
do_action('comment_form'... inside of /wp-content/themes/[your_theme]/comments.php
Instead it uses a new function call inside of comments.php:
<?php comment_form(); ?>
If you have WP3 and captcha is still missing, make sure your theme has
<?php comment_form(); ?>
inside of
/wp-content/themes/[your_theme]/comments.php
(please check the Twenty Ten theme’s comments.php for proper example)