Beamer Presentation: Figure has no number?

To achieve numbering of figures, you need to set:

\setbeamertemplate{caption}[numbered]

\documentclass[demo]{beamer}

\setbeamertemplate{caption}[numbered]
\begin{document}

\begin{frame}
  \frametitle{}

  \begin{figure}
    \centering
    \includegraphics{varweakness}
    \caption{VaR as a quantile}
    \label{something}
  \end{figure}

\end{frame}


\end{document}

You can use the following:

\documentclass{beamer}

\usepackage{lmodern} % get rid of warnings
\usepackage{caption} % improved spacing between figure and caption

\DeclareCaptionLabelSeparator{horse}{:\quad} % change according to your needs
\captionsetup{
  labelsep = horse,
  figureposition = bottom
} 

\setbeamertemplate{caption}[numbered]

\begin{document}

\begin{frame}
  \begin{figure}
    \centering
      \rule{1cm}{1cm}
    \caption{Leprechaun.}
  \end{figure}
\end{frame}

\end{document}

Notice that there is no space between the figure number and the colon.