Have you ever started to download a porn movie when you've had to leave the house and your download failed, for you to have to restart it again when you get back? It can be pretty annoying when you realise that you've got gigabytes of content wasted.
JDownloader is a piece of software which is open-source (free to non geeks!) and it lets you pause downloads, letting you start them up again whenever you need to. There are plenty of other features to this software such as setting bandwidth limitations to stop you from going over your providers limits and getting a hefty bill, to auto extracting archive files.
This software is available on Windows, Linux and Mac which is pretty cool, and all you need to do is download the install file, install the software and get going.