Downloads in Steam are super slow, often less than 1kb/sec. I know that this is not due to poor steam server location or poor internet connection, as it downloads fine on Windows. I am using Wubi.
Apparently the Ubuntu Steam client has a fixable bug where it is asking for way too much DNS information. See here for fix
The Problem is not Ubuntu. I have the same issue on Mac OS and sometimes even on Windows. Change the Download-Server-location inside Steam and try again.