When you are downloading stuff from the iTunes store you can prioritize the order of the downloads. This isn't such a big deal with music since those files tend to be small. But if you are downloading podcasts or video, you may actually care about what you get first.

To adjust the order of the downloads, in the left side of iTunes go to the Downloads folder in the Store section. You'll see all of your downloads listed. You can just drag-and-drop these into any order you want, even if some of them are already downloading.

Doing this, you can always gets the stuff you want the most first.