There are numerous cultivars of daylily. Many of them are hybrids. Within these cultivars and hybrids there is a great variation in the degree of deciduousness. Some cultivars need a cold period in order to initiate flowering. This cold period or chilling requirement will vary from no chilling needed to an extended period of freezing weather required. Lilies may bloome the first year because they were chilled, probably in storage, before you planted them. Daylilies that do not get their chilling requirement met will grow and produce nice foliage, but they will not bloom.
How to check existing lilies
In the fall (about September) dig up several bulbs of your non-blooming daylilies and plant each bulb in a one-gallon pot in potting soil. Water the pots, allow them to drain thoroughly and put them in the refrigerator. Observe them periodically. If the bulbs start to grow, remove them from the refrigerator and carefully (try to keep the potting soil ball intact) plant them back in the garden. If no growth appears, plant them back to the garden anyway around the first of March and see what happens.
ADDED NOTE: When ordering daylilies from a catalog or online always request information on chilling requirements, especially if ordering from an eastern U.S. source. Even if you buy your daylily bulbs from a local nursery, inquire about chilling requirements.