This got me thinking, and it turns out that its the repeated updates to the window that crunches the CPU, not the downloads. By hiding apps, you can reduce the number of CPU cycles they use as OSX no longer has to re-draw their windows when something changes. Programs which show progress bars or other such frequent window changes are most affected.
The upshot of this is that I can be downloading many new maps for Unreal Tournament in the background while playing ... or maybe doing some work.
[robg adds: Hiding has been mentioned as a speed hint for other apps before -- such as this one about iMovie. As 'wildgift' noted in the comment to that hint, the GUI is not really multithreaded ... so if you have an app that's doing a lot of window updating, you may see a nice speed bump if you can hide that application.]

