Internet Explorer has a file download limit of 4GB (2 GB on IE6). Firefox does not have this problem (haven\'t tested safari yet) (More info here: http://support.microsoft.com/
@levand:
My actual preference, as a user, in these situations is to download a lightweight .exe file that downloads the file for you.
That's a dealbreaker for many, many sites. Users either are or should be extremely reluctant to download .exe files from websites and run them willy-nilly. Even if they're not always that cautious, incautious behaviour is not something we should encourage as responsible developers.
If you're working on something along the lines of a company intranet, a .exe is potentially an okay solution, but for the public web? No way.
@TonyB:
What is the best way to do this without using FTP.
I'm sorry, but I have to ask why the requirement. Your question reads to me along the lines of "what's the best way to cook a steak without any meat or heat source?" FTP was designed for this sort of thing.