This week's book giveaway is in the OCMJEA forum. We're giving away four copies of OCM Java EE 6 Enterprise Architect Exam Guide and have Paul Allen & Joseph Bambara on-line! See this thread for details.
Two reasons I can think of. Sometimes the download fails. I have gotten downloads where they appeared to succeed, but where a sizable portion of the back end of the file is all hex zeros. Doing a checksum will spot such a failed download. Of course, you often find out about this when you attempt to unpack it.
The other possibility is that someone hacked the download link and you end up downloading something other than what you expected. A checksum will help you identify such fraudulent downloads.