1.
The diode requires a complete circuit loop in order to conduct current. Does your setup provide this? Your oscilloscope alone is insufficient. A 500 to 100k resistor can be connected between the diode and ground. Then connect your scope across this resistor to examine the waveform coming from the diode.
2.
The diode is typically connected to a coil which is connected to the antenna. There is a voltage swing on the coil. A tap from the coil is applied to the diode. Does your setup have this?
3.
The diode is used to rectify the incoming rf signal. The signal voltage must be sufficiently strong to drive the diode to conduct. Typically 0.6V if you use a silicon diode (but can be less with germanium or Schottky diodes). Can you be sure your antenna is getting a strong enough signal to provide this? Do you have a transmitter of your own or are you picking up local broadcasts?
4.
To see the rf waveform your oscilloscope must be able to operate at the rf frequency. Can you see any waveform coming from the antenna directly on the scope (without going through the diode)?
Or even if your scope cannot show that high a frequency, you can see the information present in the broadcast (assuming it's AM rf). Connect a small capacitance across the diode output and ground (in addition to the resistor mentioned above). This detection method is similar to a crystal radio set.
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Simple rf detector probe schematic:
http://www.qsl.net/n9zia/wireless/pics/rfprobe.gif
Several rf detector schematics:
**broken link removed**
Simple radio circuit:
http://www.aaroncake.net/circuits/cradio.gif
Website about crystal radios, also showing evaluations of several diodes (bottom of page):
Crystal Radio Circuits