Hey, I had the exact same problem with my transferring a new album my friend bought on my Mac, to my iphone... It took me two days to figure it out, but it could be either of 2 things:
1. You don't have the "manually manage music and videos" box checked. If you check it, then try to click and drag it over to your music on your device, it should then sync (on iTunes 11) This was my problem, and I checked that box, and it transferred and downloaded instantly
2. You don't have enough memory space on your device to put the playlist on. This was the problem for a lot of other people, not me, but they said it worked once they cleared some space on their device.
Hopes this helps!