One of my more frustrating experiences when I was just starting out was simply getting the entire blockchain. (Since the client does nothing to tell you it hasn't gotten them all yet, you just watch numbers climb and wonder what it means.)
HaHa. I had that thought until I realized I was being blonde and that the bitcoin client basically is already a customised bittorrent program. Its an easy mistake to make.
I do agree that there should be some kind of indicator to new users about what's going on behind the scenes. There must have been long debates about it on #bitcoin-dev though, so I won't overstep the mark.