If you're on 3G, turn off 3G and try connecting to Wi-Fi. The app may be larger than 20mb, requiring Wi-Fi. Otherwise, your connection may be very slow, or the ports could be blocked by a firewall or router.
You can also try power down the device, power on and try clicking the app you want to download (wait for Wi-Fi).
If this is a first time thing, it's possible that the apple server for your region is having a hiccup, you may just need to try later.