We construct a compact semi-Riemannian manifold without periodic geodesics. We also provide examples of three-dimensional Lorentz manifolds without closed geodesics. All these examples are of the form $\Gamma\backslash G$ where $G$ is a Lie group endowed with a left invariant metric and $\Gamma\subset G$ is a cocompact lattice. Unlike the locally homogeneous case, we show that a homogeneous semi-Riemannian manifold admits closed geodesics.PDF: On closed geodesics in Lorentz manifolds.pdf