biblatex uses "bibliography strings" for (among other things) the headings of bibliographies, so redefining \bibname (for the book and report class) or \refname (for article) won't work. Try to add the following to your preamble:
\DefineBibliographyStrings{english}{%
references = {Works Cited},
}
(And as Mico has noted, you're missing \printbibliography.) Compilable example:
\documentclass{article}
\usepackage[notes]{biblatex-chicago}
\DefineBibliographyStrings{english}{%
references = {Works Cited},% replace "references" with "bibliography" for `book`/`report`
}
\usepackage{filecontents}
\begin{filecontents}{\jobname.bib}
@misc{A01,
author = {Author, A.},
year = {2001},
title = {Alpha},
}
\end{filecontents}
\addbibresource{\jobname.bib}
\nocite{*}
\begin{document}
\section{foo}
\clearpage
\printbibliography
\end{document}

\printbibliographystatement? – Mico May 22 '12 at 20:20