In my experience there is usually a problem with the download. If you paid for the song, I advise to NOT try the download again as this may charge your iTunes account/ Credit Card twice.
If it was free, what the heck, try to download it again.
In the Music (orange) App if the song shows up USUALLY you can swipe left (like when you delete something) and delete the song and try to download again.
If none of this works, try contacting expresslane.apple.com
Start by clicking in the center column:
2. iTune Store
3. Connecting & Downloading
4. Downloads from iTunes store incomplete or interrupted
6. Choose your support option (depending on time of day your options will include email, chat, call now, or schedule a callback)