This hadn't occurred to me either until I was having a problem with an installation and then I thought perhaps the cause of the, as yet undiagnosed problem, was a corrupt installation.
As I understand it, MD5 is not foolproof, but I would think it is good enough for validating that a file has downloaded without errors.
I guess the only thing you can do is scan the downloaded the archive for errors, although some errors might not show up in such a scan.
Good point this. MD5 hashes get my vote.