I've tried a number of Download Managers over the years and am currently using the NetVideoHunter 1.4 add-on for Firefox 3.6. NetVideoHunter has a little icon in the status bar which allows you to see what is available for downloading and it seems to work just fine with all the file types on the websites I visit. I used to be a fan of Orbit Downloader but gave up on that once they came out with the software updater, homepage changer and other add-ons as part of the installer.
I've also tried a number of what claimed to be Download Accelerators, but didn't find that any of them made an appreciable difference on my painfully slow and often intermittent DSL connection.