We've mentioned once before how you can speed up Ubuntu updates and downloads by using different mirror servers, but now this feature is built right into Synaptic and the Ubuntu Software Center. In fact, it'll even find the fastest one for you.
By default, Ubuntu uses either its servers or the default server for your country to serve you updates and other downloads. You can get faster speeds, though, by picking a download mirror close to you - say, one hosted by a nearby university. Nowadays, Ubuntu will detect the fastest mirror for you to make sure you get the best speeds possible. To change your mirror to a faster one, just head to System > Administration > Software Sources and look for the "Download from" dropdown menu. Hit "Other" in that menu and you'll see a long list of servers available. If you click the Select Best Server button, Ubuntu will find the fastest one for you.
Note that this doesn't speed up your actual internet connection, just downloads from Synaptic or the Ubuntu Software Center (which is still pretty handy, considering that's probably where you get most of your applications). Hit the link for more Ubuntu Software Center tips.