Many of these use a small battery to run the clock parts. The ones I've used have a small strip of plastic to keep the battery out of the circuit until you install it. If this was a return, likely the guy who returned it had pulled the plastic out already.

Note that these timers come in two forms. One uses a semiconductor switch that doesn't work with CFLs and possibly others (it caused my CFL cans to flicker). The other (typically costs a buck more), uses a small motorized switch and will work with just about any lighting or other load (subject to the current limits).