First make sure the at(1) command is really executed and creates a job - look in /var/spool/cron/atjobs for the job file; second inspect that file (it's a shell script) and check if everything's okay - pay attention to items like umask, PATH, SHELL, cd.
Also check if atd(8) is running, and check if it's running with an -l parameter and your system is under permanent high load (in this case atd won't execute jobs).
Olaf