The experience in downloading files is a bit poor at the moment. We don't have a progress meter and also don't retry the download. Something I came along today is urlgrabber. Sounds like a great addition for mozdownload.
Something else which is way easier to implement I have seen with a recent checkin for mozregression:
urlgrabber as mentioned above doesn't seem to be maintained anymore. So it might not be a good idea to base on it.
Add a percentage completion counter (Fixes #48)