For me it was downloading mp3 files and only letting Winamp play them on repeat as they download. At first you just got a second or two of sound, and it would add maybe a second on each play. Eventually the magic of compound interest would get you the whole song, and that was a major adrenaline rush
I remember downloading IE4 over a phone line at the inlaws. It took hours for a few MB. It was worse if I recall as I already had broadband via Road Runner back then (1998).