Well, you have to figure out how best to maintain one-to-many records in the Marketo database.
Clicked Link events are inherently one-to-many, scalable, and reportable (you can see all the click events for a given Lead or across all).
Some people use "history" fields where they append or prepend the most recent data for another field (and usually empty the current value of the field). This gives the impression of one-to-many, and the field is stored directly on the lead, but I generally wouldn't advise that unless it's absolutely necessary. Marketo remains oblivious to the fact you're trying to keep a series of data points in the same field -- logging timestamps in the history just is more freeform text you have to search on -- etc.
You can also bubble up important clicks as Interesting Moments, which are of course also one-to-many.
Yet another mechanism is to auto-submit a form so the download is logged as a Filled Out Form.
In the absence of an activity actually called Downloaded File I'd go with the Clicked Link, especially since it is probably already being logged!