The first thing I'd do is check the material itself to make sure it isn't transparent! The next thing I'd check (just to be on the safe side) is the direction of the normals on the model (assuming it is polys). Finally, try a UV snapshot, and also try filling in your model with a plain color. Do a test render. If it renders OK, it shouldn't matter (I had the same problem, but since the object rendered just fine I left it alone).

Keep us posted, and more details on your problem wouldn't hurt either!