Actually unless you're on dialup (and expect unreasonably long download times with possible cutouts) you're better off using NO download managers of any kind.
I'm on broadband, but I still use one because:
1.) I hate it when my download get's cut off (for whatever reason)and I have to start all over again.
2.) I like being able to queue up a crapload of things to download just before bedtime so that everything I want is there when I wake up.
In addition many websites will ban you for using certain download managers as their bandwith is costing them a fortune already and they'd rather not quadruple their expenses.
I've seen a few that do this. However, much of that is because morons like to have it hammer the fuck out of the server to 'accelerate' the download.
When properly configured, it can actually save them bandwidth. If I get to say... 90% completed and the download fails for whatever reason, I can resume from where I left off rather than having to download it all over again.
Also, for TsunamiZ:
Another vote for DAP. I registered mine so I don't worry about adware.