Yes, I've had it happen. Not in subtle ways - usually a size check would show that something is very wrong anyway, but I appreciate the peace of mind. I usually like to bake a check into automation and had that catch things like the binary being replaced by a 404 page, etc... When I update the version I pull, I also update the checksum.
Yeah, I do remember having an unexpected broken download (via curl from memory) a few months ago. Didn't notice until trying to use the archive and things complained.