If you download a file with Safari or certain other programs, you may be able to copy its download URL from its Get Info window.
Select the file in the Downloads folder (or elsewhere) and press command-I. Find the Where From ntry in the More Info section of the Get Info window. Hold down the mouse button and drag across the URL listed there to select it, then choose Copy from the Edit menu (or press Command-C).
[robg adds: This will only work in 10.6; 10.5 won't let you select the text in that field. I'm not sure which browsers/apps other than Safari record this data; Firefox does not.]

