I didn't reralise this ferature existed but according to this article from TUAW it does:
With the advent of firmware 2.1, Apple has added the ability to pause a App Store download currently in progress. When you purchase an app, a temporary download icon will appear on your home screen. While the application is still in the download process, tapping it will pause the download.
Paused downloads will be denoted by the word "Paused" underneath the icon. To resume the download, just tap again. While Apple has added this feature to the iPhone OS, your mileage may vary as far as it working properly. In one instance, our iPhone had to be restarted completely before the download would resume properly.