So then, if an anonymous person purchases a downloadable product, how would they get access to the file? Just via a download link? Or would they still be able to login with an auto-generated username and password?

We don't allow anonymous checkout so I've never run into this issue, but I'm curious as to how it works. Is the file association process the same for anonymous and authenticated users?

stephthegeek, when you complete an order as an anonymous user, do you get the File Downloads email? (This is an option you need to check in Store Config > Notification settings, I think.