amypinning on "Customer order without a shipping address"

I have had many orders through my website over the past few months and all with no problems. I have just had an order and when I view the order there is no shipping address entered and subsequently the customer has not paid for shipping. I can't see how they were able to check out without selecting one of the three shipping options I have set up. Ironically this customer is only a mile away from me and I was able to hand deliver but I don't really want this happening again to someone that is further away.
I have had orders after this one for similar items and cost and all been fine.
Any suggestions anyone, I can't really email the customer to see what happen.