Quick question regarding a transaction that I am having an issue with, about a week ago I bought some BTC with MtGox, however when I withdrew the BTC I opted not to pay the fee. One week later I am still waiting for the BTC, can I pay a fee myself to process the transaction quicker, post original transaction?
Your client will immediately show a payment that was sent to you however it will only show as "0/unconfirmed" until the transaction has confirmations and also your client must be synchronized (has downloaded the needed remaining blocks).
If the transaction was broadcast to the network (e.g., shows up in Blockchain.info) but your client doesn't show any payment whatsoever then the problem is likely to be either that your client isn't connecting to the network or somehow the address you think is in your wallet really isn't.
If you manually imported private keys into the client's wallet, then possibly the client needs to have the client launched from the command line with the "-rescan" option to get the imported private key and its bitcoin address to be properly recognized. That option can be run at any time (i.e., isn't harmful to run, even if not needed) so if you are expecting results that aren't occurring, this is one step you can take to eliminate any question.
Of course, make sure you have a backup (multiples, actually) of your wallet.dat at all times, including before doing a -rescan or at any time there appears to be trouble.