My output pdf file shows empty references after inserting BibTeX in Lyx 2.0.5. The BibTeX file is created by JabRef 2.9.2 and I am using Windows 7.
You have run into this 7 year old bug that will be fixed for LyX 2.1 (beta to be released soon). bibtex is probably trying to tell you what's wrong but LyX is not passing that information on. To see the bibtex log, export to LaTeX (pdflatex) and compile manually with pdflatex and bibtex. If you don't understand the error, post it here. And yes, similar to what Papiro says, please post a LyX minimal example.
EDIT: note that the bug was not fixed for LyX 2.1. It was viewed as too intrusive of a change. Many users had documents were compiling and were upset when suddenly they received errors. See the ticket (click on "this" above) for more information.