Its almost always the glow plug relay even if you hear it clicking. You'll have to test it. The dirty way to test is to turn the key on, listen for the click, then watch the volt gauge on the dash. When it clicks, the volt meter should change a little. If its not, its a bad relay. You really should verify it though with a volt meter at the relay itself. They're cheap and easy to replace.
Don't use the "glow plug" light on the dash, use your ear. The light on the dash goes on and off based on the computer's idea of when you should start. The actual relay cycles differently from the light. Listen for the click when you're watching the gauge.
If the relay is good, you'll have to test the individual glow plugs. There is a flat connector that goes through the valve cover gaskets. Pull that connector off and test the resistance to ground of each peg on the connector. I'm not sure what the resistance should be, but the manual should tell you. If it doesn't, look for consistent readings that are within about 10% of each other. If you have some that are way off, they are bad and need to be replaced.
Relays should be purchased at NAPA. They have good relays for the cheapest prices. IIRC, the correct part number is either GPR109 or GPR104 but its been a while