It's a bit unsettling how Opera (9.25) starts your download even before you've clicked "Save". For e.g., just now I wanted to download the Windows version of wget and visited the appropriate site and clicked on "download". I didn't click "save" and specify a download folder etc. and switched over to a video I was watching. There was also another download progressing at the same time.
10 minutes later, when I switched back to Opera and noticed the "save" box, I clicked save and specified my desktop as the download folder. As soon as I did that, I was informed that my download was completed, i.e., Opera had already started and finished the download and had cached it somewhere, and based on what my decision would be in the save box, it would either delete the file or move it to my save location as appropriate.
While this certainly seems user-friendly, it's more than a little unsettling and sounds insecure. It also chews up bandwidth invisibly and doesn't seem to have an opt-out option.