The famous Digg This plugin for wordpress just got updated (thanks for Rob Walling for notifying me of the problem and the solution).
As it turns out that Digg changed the HTML code consist of a post yet again. Since the plugin validate that the referral you got is actually from digg and not from a spam bot, it did not parse correctly the changed HTML coming from digg, resulting no link back to digg. If you have an old version of the plugin, please update your wordpress with the new version.
I also added an option to turn off validation which will cause the plugin to work faster, however it will be less secure and susceptible to spam links. If you do not suffer from spam and want to be immune from future changes of digg code, edit digg-this.php, find
$VALIDATE_REFERRER = true;
and change it to
$VALIDATE_REFERRER = false;