For whatever reason, it seems to me since I switched over to Froyo, I have had market downloading problems quite frequently. I have had the problem described by the OP.
I have found after a couple of downloads, if I delete the cache and clear data from the market, my downloads will resume without any problems. To do this, go to menu-applications-manage applications-all- then click on market. On the market tab you will find the button to push to clear cache and to clear data.
Works for me anyway.