There are several things to consider when downloading files from the Tor network.
One of them has to be the fact that the entry/exit nodes for your connection to the server (and the other way around), can alter data. There's implied trust in the Tor network at the beginning and endings of connections. This doesn't mean someone isn't looking at what you are requesting, but could potentially happen especially with a "rogue" node.
Now with files, there's two aspects to cover. One is the fact that a "rogue" node could modify it, or swap it out for an entirely different file. The easy way to combat this is to use a secure hashing algorithm, so that both the originator and recipient know that the file hasn't been modified in transport.
The second aspect for files is the fact about metadata. Some file formats such as DRM protected audio files such as WMA and WMV, allow for automatic lookup for a codec without prompting the user first. This connection obviously won't be done though Tor, which could leak your information. Beyond DRM, newer Microsoft Word Documents track author information and other such pieces. This again could expose who is who.
Keeping files on disk can also serve as evidence, which is why many use a live CD/DVD to keep contents in system RAM. In the event of a power off and a few seconds, all information is effectively cleared, and any evidence of files being used/accessed is gone as well.
Tor was in fact developed by people working in the US Navy. A lot of people forget this, so do make the false assumption that Tor or "The Onion Routing Project" is "unbeatable" or "completely secure".