It's always good to give a little back, be it by helping someone cross the street, helping a friend rearrange their house, or in this case, help others download files on the internet. You may not know this, but times when you have to download large files they can get corrupted or stop downloading before they should, leaving you with wasted time and the prospect of having to download them all over again; then there's the occasional hassle of downloading files from far away so they run very slowly.
One way around this is to use a BitTorrent program to download the files, if they're available in a BitTorrent format. To do this you either need support in your browser (i.e. Opera) or a separate program (Transmission is great for Mac OSX, uTorrent should be good for Windows, or just use the original BitTorrent client), then you click on this file named somethingorother.torrent and it'll start downloading.
One of the best and key features of BitTorrent is that the more people have the file you want the faster it will download, which is where the "giving back" part comes in - once you download your files leave the BitTorrent client open and it will share out your copy of the file to others, thus helping everyone.
One disclaimer: there are sources for illegal content in bittorrent format, I do not in any way condone using this wonderful technology to break the law in your country, likewise if I wrote an article on using a hammer to build a bookcase I wouldn't condone using the same hammer to smash mailboxes. I personally use it to download Linux distributions and legal music, as should you.