Check block explorer and see if the transaction is in a block.
If it's in a block then get the block chain again. If it isn't, and it isn't in the link I posted above then it's possible it was a double spend or similar.
Yes it is in a block. So I have downloaded the blockchain now. I copied wallet.dat to an usb-stick, then deleted it and placed the new blockchain there. Then I ran bitcoin. Now I'm waiting for it to download the other blocks. But... When it is done with that, should I just place wallet.dat in the Bitcoin data directory? Should I run bitcoin with -rescan then? Or just run it normally?