Integration with external download managers would allow users more control over their downloads. aria2, my example, allows for:
- Continuation of killed downloads
- Downloading multiple items at the same time
- Splitting downloads into chunks to increase download speeds
- Support for BitTorrent links
- Much more customization than the built-in download manager allows.
In Firefox and Chrome, there exists an extension called aria2-integration, which allows for the usage of aria2 over the built-in download manager by simply redirecting downloads to aria2. It provides a whole page to view aria2 status, though I believe this is not necessary, and a simple "Download failed" popup if aria2 fails would be good.