If the doctor hasn't done a blood pregnancy test yet, i'd start there... those are much more sensetive than the urine tests. if the blood test is still negative you might just have really low levels of hormone.
They can usually confirm the pregnancy with ultrasound very early - i had an ultrasound 5 weeks after my last actual period (so only about a week late for my missed period) and we saw the little gestational sacs (we're having twins!) and went back at 6 weeks and saw their little heart beats.
If all of these tests still come back negative for you, it might just be late due to stress or change in your life? i remember after my wedding i was 2 weeks late and we had a major freak out because I've always been VERY regular :) eventually it showed up. but if the tests are negative and your period still doesn't come a few weeks late, you really should have your OBGYN look into any medical problems you may be having to cause this - just to be on the safe side.
Good luck and hope you have happy results :) Keep us posted!