Mailchimp has several WordPress plugin you can get directly from their site. Other mail services also provide WordPress specific plugins besides Mailchimp.
http://kb.mailchimp.com/connect
These plugins interface directly with WordPress signups or as a separate form, the Mailchimp signups by default need user confirmation and provide opt-out.
As for download only for members, it depends how you structure the downloads, you can have a members only download sections, or a manager for post links, etc.
For instance using:
http://wordpress.org/extend/plugins/download-monitor/
http://wordpress.org/extend/plugins/wp-members/
http://wordpress.org/extend/plugins/member-access/
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