Hmmmm. These are odd responses. I support the shutting-down of non-server computers. The reason I say this is because prolonged use of the computer adversely shortens the life of many components, especially the PSU. There are two huge disadvantages that come to my mind when leaving the computer on for long periods of time.
1) The worst disadvantage to keeping it on is that it greatly shortens the lifespans of many, if not all, the components in the computer. The constant exposure to the high temparatures (to which chipsets such as the CPU and GPU are highly susceptible) will shorten the life of the component even with adequate cooling. The transistors and the capacitors will "leak" and break due to the long exposure to the power.
2)PSU will most definately be the first to give up. The constant load will be unbearable for it and it will give way.
Unless you want to kill your computer fast turn it off when you aren't downloading or working on it. It's only common sense that the harder something works the more problems it will encounter due to stress and other factors. Treat a computer as if it were a human.
venividivici you are totally wrong on the perception that turning the computer on "adds electricity" and causes a "surge" of some sort. PSU's have something called voltage tolerance which prevents the sort of thing your describing from happening. Infact leaving the computer on for long periods of time will increase the chance of getting"surges" unless you own a UPS or Surge Protected Power Outlet.
Edit: I am dissappointed in all of the people who leave their comps on for no apparent reason...its the result of laziness and impatience that people leave their computers on when they aren't using them. SHAME ON YOU ALL!