One really cool feature that comes with Mango (because of multitasking) is that 3rd party apps can now download data in the background. But being Microsoft is concerned with what they call "health" aka battery life, cpu and mem usage, etc. there are restrictions on how it all works.
First of all, things download serially when the screen is on i.e. you're probably using it. This makes sense as you don't want your radio and cpu overwhelmed while trying to do your task. This is a huge problem, in our opinion, with Android, which just tries to swallow data regardless if your using the device, on battery or whatever, often slowing it down significantly.
There are also two modes: on battery ("Periodic Agents") and when plugged in and on WiFi ("Idle Agents"). The former is when your phone is in your pocket or your actually using it--apps can pull data down, serially, at specified intervals (up to the developer, but only every 30 minutes--this number is being debated though, may change). This is good for small updates, geolocation, "checking in", etc.
The latter scenario, "Idle Agents", could be thought of as "night mode"--when your phone is plugged in, on your home WiFi not being used. In this case, the phone "feasts" on data (yummy!). This is where apps can pull down whole podcasts, tons of images, etc. Basically anything goes, though each app only gets a 10 minute "window" so it can't waste the whole night (though it can try again later).
All in all cool stuff and smart, very smart.