Well it sounds like some kind of delay.
The good news is that while Bitcoin is psuedo-anoymous there is no way for a company to say "we already paid you", or "the check is in the mail".
Even if you think your wallet/client may be borked there is always the block explorer
http://blockexplorer.comYou can lookup any address and see all the payments accepted by the network.
If there is no transfer from Mt.Gox to the address you gave them ... then no transfer happened.