For me, doing anything else while watching vids on Hulu slows my computer to a crawl. But I've got a PC desktop from the ancient days of 2005, and its an issue of how much RAM the thing has.
I've got a cable modem and it takes maybe a minute to download a song through ITunes. As far as download speeds go, I've never had any problems.
Of course, ITunes also eats copious amounts of RAM for me, so I tend not to have my Internet browser up while I'm working with it. Hulu/Youtube Video + Itunes makes my computer cough up a lung.