I could find out for myself, but it might cost me money...
If I've got a lot of download going on (eg several movies), do I have to leave iTunes running until they're finished, or does the downloader run independently of the main app?
I'm pretty sure you have to let iTunes run to complete any download. App Store items seem to be OK to re-download if your first attempt fails for any reason, but I don't know if this applies to other purchases.