My Collector's Edition ultralisk skin doesn't show up, what do I do?

The special Ultralisk skin may not show up due to the new way of applying skins to units. In Wings of Liberty, the special Thor skin was automatically applied and could not be changed, however in Heart of the Swarm an extra step may be needed to activate this award.

By clicking on your portrait in battle.net, select the "Rewards" tab, and then the "Skins" tab. Find the Ultralisk and change the skin to "Collector's Edition". If the skin is already selected, select the "Default" skin, and then select the "Collector's Edition" skin again to apply the change.

Battle.net interface