I don't use Bridge to DL, as I do not want Bridge to do anything to files until after copying to 2 separate places and all data checked compared to camera card. But when testing CS4 I do recall people commenting on how much faster Bridge was than using Windows to copy. And I'm sure it was when I timed it.
Bridge is generally very fast compared to earlier versions and it is well worth learning how useful it can be.
I am a serious bridge user, use it far more than PS which is more or less used 90% of the time just to run actions on the files I've worked in ACR. Especially now with the brush tools in ACR!
I've already upgraded to CS4.
From my testing using the Photo Download tool writes nothing but the metadata (if you specify), the XMP files are not written until the folder is viewed in Bridge! As such as far as I can see it does nothing except copy files over at exactly the same speed as windows does (I timed it twice either way with two cards, one full, one half full).
Another thing I'm impressed with in CS4 is that Bridge copied over all my screen presets and the ACR presets from CS3 so I didn't have to build them all again. Nice touch, CS3 didn't do that from CS2 and it's a pain getting everything 'right' again in a new program.