Q you can check out JDownloader
jDownloader - Download - jdownloader.com
It acts as a regular downloadmanager and can resume downloads, however that depends like you mentioned on the hoster.
[]Megaupload for instance works so losing a connetion here you can resume the download.
[]Rapidshare does not allow to continue interrupted D/Ls
It also checks if the links are still valid and in most cases inputs the captcha for you. Lets say you've got 5 links you want to D/L and use the JDownloader with it they will be downloaded one after one without you to input the captcha in most cases JDownloader figures it out and like mentioned continue donwloads works with megaupload too.
I wouldn't trust JDownloader 100% though you could allow this software to connect by itself to the web by using your password and needed data... that I would not recommend but it's up to you. Anyway I'm using this software for over a year now and it works well for me.
Speed is the maximum you have within your connection (or the max. that the hoster allows) you can D/L from several locations simultaneously (different hosters) as example 1xRapidshare 1xMegaupload 1xdeposit and split your speed up between this connections... works. However if connection is lost only Megaupload can be picked up the other two will simply restart.
Only drawback I see with JD. is that if you do something CPU heavy this affect the downloadmanager so playing a game that requires almost all of your resources will lower the D/L speed... maybe this is just on my machine. though this happens not so often as example if I watch a movie or play a flash game D/L speed is max so you figure out it's probably not a big issue.
Hope this helps you bro.
Sidenote
JDownloader is handy since you can use DLC container files since some uploads offer this it's a collection of links so you only need to pick the dlc file load it up in the JDownloader and you can donwload one after one.
