When building a public-facing MOSS site we had found that clicking on a link to an Office document such as Word or Excel caused a dialog box to display asking for the user to sign in.
If the user was already authenticated with the SharePoint site this would not occur, only those users accessing the site as an anonymous user.
If the user clicked Cancel on the dialog box then the document would open in a read-only version.
When you offer MS Office documents for download from the site, the Office tools on the client will recognize the SharePoint site as such and will ask the user to login for online editing.
Even though the download is perfectly possible without logging in (hit escape), the login box will scare users away.
This problem can be resolved mostly by turning off 'Client Integration' for the web application (same screen as allowing anonymous acces, see above).
Sadly, even with this feature turned off, some configurations of browser and Office versions will still show the login box. The work-around we found is to remove the OPTIONS verb from the HTTPHandler registration in web.config
More info on verbs are available here.