Yes, they do fail sometimes. In fact, they fail far more frequently than an internal drive. That's why having a backup of the contents is even more important than having a backup of the contents of an internal drive. It seems they don't always tell you in the shop (that's not smart of them, because selling 2 makes them more money than selling one).

All you can do yourself: Get the disk out and put it in a new enclosure, or connect it via a USB to SATA/IDE cable.
If that fails (quite likely), find a data recovery company (and your creditcard, because their work is far from free).