I did wonder if it would do something like that, but didn't like to say anything in case I got accused of saying Windows is better than Mac! 
(if it turned out that actually Mac OS can't do this) - when you use Windows Update or Automatic Updates to download updates, they're downloaded using only idle bandwidth, and if you disconnect before they've finished downloading then they will resume from where they left off when you're next connected (or next time you run Windows Update if you don't have automatic updating enabled), without you having to do anything or tell it to pause/resume the downloading (if you use Automatic Updates then all this happens without you even being aware of it).
_________________
Main system: custom C2D 2.66GHz tower/4GB RAM/2600XT 512 MB/500GB HD/XP Pro x86+Vista Business x64
Main Mac: Beige G3 minitower (Sonnet G4 500MHz/640 MB DVD/USB/Radeon 32 MB/OS 9.2.2+10.4.11)
(if it turned out that actually Mac OS can't do this) - when you use Windows Update or Automatic Updates to download updates, they're downloaded using only idle bandwidth, and if you disconnect before they've finished downloading then they will resume from where they left off when you're next connected (or next time you run Windows Update if you don't have automatic updating enabled), without you having to do anything or tell it to pause/resume the downloading (if you use Automatic Updates then all this happens without you even being aware of it)._________________
Main system: custom C2D 2.66GHz tower/4GB RAM/2600XT 512 MB/500GB HD/XP Pro x86+Vista Business x64
Main Mac: Beige G3 minitower (Sonnet G4 500MHz/640 MB DVD/USB/Radeon 32 MB/OS 9.2.2+10.4.11)