If you are downloading the software from Software-center/Synaptic that will be at
/var/cache/apt/archives of your Ubuntu PC . you can get them and save .
if you want to install any software you have three things
ii.Synaptic package manager
iii. Terminal methods if installing
Software-center and Synaptic and GUI based application and you can install applications from there with a Click .
Terminal ways are two .
sudo apt-get install <application/package_name>
there in the glides you can place what ever the software you want to install .
sudo aptitude install <pkgname>
here you have to mention the name , similar to apt-get .
but in apt-get and aptitude i vote for apt-get .
Best Audio/Video Software , i always use VLC player (available in software center ) but we have more examples smplayer etc.
Download accelerators : I use wget (a CLI based ) but we have GUI also i vote for fatrat and deluge for torrent downloads .