Resuming broken downloads. if you don't use a download manager, if the internet connection is lost in the middle of a download, you have to again start downloading from the beginning. This is waste of time and bandwidth. If you are using a download manager, then you can resume from the point where the download was interrupted.
Download faster using multiple connection. Without a download manager, only one connection is established while downloading a file. This way your actual available internet speed may not be fully ultilised. But when using a download manager, each file is split into multiple parts and each part is downloaded simultaneosly. This spllitting and downloading is done internally by download manager and when the download is complete it will be one single file.
Selective download of files inside zip files. Some download managers have this zip preview option, in which you can preview the files inside and download only the required files. This is possible because the zip header of zip file contains all the details of the files inside that zip file and download manager downloads only the header and prompts the user to select the files to download.
Keep track of your downloads and organise them. Most download manager keeps a history of the downloads and also allows to categorize them.
There are lot of freeware and commercial download managers. One good and free download manager is FDM or Free Download Manager and is available for download at http://www.freedownloadmanager.org/ . It is released under GPL license, which means it is open source.