I have an iPhone 3G, and get the Starbucks pick of the week regularly. I've had several times where the download doesn't work directly to the iPhone, but I've learned that iTunes keeps track of the request, and has been able to complete them. Two possibilities:
In some cases, I've stumbled across the pending download on the desktop iTunes, similar to other applications downloads/updates. iTunes added another entry under the STORE category, to complete the download. All info was downloaded via the PC, still shows as purchased on the iPhone.
Tap to re-try on the iPhone. I had an error in completing the download yesterday, left it, but then couldn't find the prompt to download to the desktop after I synced. So I checked the iTunes on the iPhone again, and it was still waiting there to complete the download. Tapped to retry, under WiFi conditions, and it worked fine.
So I've started treasure hunting when the download fails. It's in there somewhere! either still waiting on the iPhone, or on the desktop iTunes.
That still doesn't solve the annoyance of the download not working directly to the iPhone, so I'm not planning on forking over any money just yet to buy any tunes directly to the iPhone. It is a very high percentage that fails, in fact I can't remember the last time it worked first time through to the iPhone.