I've noticed that Steam, Valve's content delivery service, is very fast also. If you pre-load a game, it takes just minutes. After reformatting my HD I reloaded Half Life 2 (which is over 4GB) and it took about 30min...
How it works, I have no idea.
One of my big concerns with downloading movies over the net has always been the speed of downloading these huge files. In addition, if everyone was to download HD movies, perhaps there would be a bandwidth issue.
However, for whatever reason, the speed of downloading files on the Xbox Live Marketplace has been quite suprising. Does anyone know why they seem to download so much faster than a regular file on the internet?