BitTorrent is great for downloading multiple files in a group, but you can actually download them in order with uTorrent — so you can start listening to that first track right away, before the whole torrent has downloaded.
Not all torrent clients have this feature, but uTorrent (our favourite for Windows) has it easily accessible from the Files tab on any torrent: Just right-click on a file and choose "Prioritise by File Order". Provided the files are named sequentially, uTorrent will prioritise the files in order, meaning you can start listening to the first track or watching the first episode before the rest of the torrent has downloaded. Sadly, this feature is only available in the Windows client, not the Mac version.
uTorrent also has a streaming feature built-in that does something similar, but this is pretty cool too.