Thus, any webmaster who provides things for visitors to download is doing himself a favor. It doesn't really matter what it is, as long as it's something that people want.

Some things to remember about downloads 

1. They can be very large, so pick them well. 
2. You've spent a lot of effort to get your visitors to your site, so keep them there. Try not to give people downloads that require them to leave your site to get them. If you do this you've basically advertised someone else's site for them. 
3. Of course the above rule does not apply if the download is not free. For example, if you are providing a storefront to a shareware house, it's perfectly okay to send your visitors over there ... with the appropriate affiliate code, of course. 
4. If you have to lead your visitors to another site to get a download, it's a good idea to pop up a new window. This can be annoying to some people, but it means they do not leave your site. There is a fine balance here, but I generally think in this case it's best to use a pop up. 
5. It's usually a good idea to compress your downloads if possible. Zip files are good because most everyone has the decompressor (WinZip). WinRAR is also good. In any event, you should provide a link to the appropriate decompressor so your visitors can get it if needed. 
6. If you are including executables, be sure and thoroughly virus scan your product before you post it and any modifications. You don't want to infect your visitor sites, do you? Always be sure to load the newest virus definitions before scanning. 

I prefer posting ZIP or RAR files over executables, as people tend not to trust EXE files. This is probably due to the extreme bad press from Trojan horses and viruses. If you are posting wallpapers, I would definitely recommend ZIP files over executables.