Although it is currently under assault by the MPAA BitTorrent is the *best* protocol for downloading large files over the internet.

azureus.sf.net -- this is the website of a free open source bittorrent client
isohunt.com -- search engine to find .torrent files(to open in azureus)
torrentspy.com -- search engine to find .torrent files(to open in azureus)
bittorrent.com -- new search engine to find .torrent files(to open in azureus) [ this engine was designed by the creator of bittorrent, supposed to be *very* good]

you download .torrent files from websites who distribute them, and then you open those .torrent files in your BitTorrent client(I suggest Azureus).

other good client(bittorrent): BitComet
GNUtella: Limewire, others can be found at gnutella.com
MUTE: I have heard good things about this anonymous P2P network...but I have not personally tried it.

All of these protocols were originally designed to help distribute legal goods and or services, what you use them to download is up to you.
[[IE>If you are sued by some nutso copyright mongoring sue-happy company I cannot be held responsible or connected to any illegal actions you take with this information]]