Thanks for the suggestions..
Today I crawled under there to take a look. Everything appers to be in order, and checked the tension of a few bolts, the rear swaybar, bushes, etc. I think I even worked out out the HICAS on that thing works (two pistons - weird setup).
Took off the suspected wheel, removed the caliper, and took off the hub. Again nothing too obvious there, so put all back together.
Just before I took it for a spin, and the problem was still there. When I stopped though, I felt that wheel, and noticed it was very very hot even after just a quick drive. I think what could be happening is that the handbrake appears to be getting "stuck" on for that wheel
The car has an older setup with the drum type arrangement for the handbrake sitting inside the hub. I did spray a whole heap of lubricant in there, and over the tension springs, etc but that didn't seem to make any difference.
I don't really have too much of an idea how that handbrake setup works with the drum (usually its just a spring to the caliper) - would should I look at? What usually do you replace in there? What type of problems can develop?