Whenever light rays are entering a denser medium they bend towards the normal.
Why do rays choose the path towards the normal? Why cannot they choose the path away form the normal?
Optics – Why Does Light Bend Towards the Normal When Passing from a Rarer to a Denser Medium?
opticsrefraction
Related Solutions
Gilbert's answer is great, but if you want a different approach just look at Snell's law: $$n_1sin(\theta _1)=n_2sin(\theta _2)=$$
Where $n_i$ is the index of refraction for medium $i$, and $\theta _i$ is the angle the light ray makes with respect to the normal in each medium.
If light enters from medium $1$ to $2$ perpendicular to the boundary between the two media, then $\theta _1=0$. This means than $sin(\theta _2)=0$. The only values $\theta _2$ can have are then $0$ or $\pi$, but an angle of $\pi$ wouldhave the light ray not in medium $2$. Hence it must be that $\theta _2=0$.
They technically should "bend" because of refraction, and a more accurate drawing would be this:
But drawings like the one that you show usually just tell you the net effect of the lens, i.e. treating the lens as a black box and not a series of interfaces.
In the derivation of the thin lens equation, however, both curved surfaces, refractive indices, and radii of curvature are taken into account.
Best Answer
As mentioned here also remember that light has wave behaviour.
When a wave of water travels over shallow water, it slows down. This corresponds to light reaching a material of more "resistance" against its' wave motion (we simply measure that by measuring the speed of light in that material - the refractive index is the proporty $n=c/v$.)
This link shows a gif which is very illustrative: http://upload.wikimedia.org/wikipedia/commons/2/2d/Propagation_du_tsunami_en_profondeur_variable.gif
Now consider the same wave delaytion happening in 2D when a wave reaches the shore at an angle (as when the light is hitting the material at an angle).
The inner part of the wave, which hits the shallow water first, will start to slow down first. After that the rest of the wave follows gradually. This causes the gradual changing of the wave direction - the wave is slowed down and redirected because of this.
Whenever the light wave reaches a material of higher refractive index $n$, then the light waves will move slower in that material and this phenomenon will cause bending towards the normal. That is, towards the more direct route through the material. When light goes into a material of higher $n$ it speeds up and can therefor take a less direct route through the material in the same time.