Haha, no that hasn't happened to me…yet.
I'm usually always too overcautious about these kinds of things; I tend to have an urge to burn a whole series down onto a DVD right after I download all of it. Although I did get a little angry at my Science teacher that deleted one of my ef ~ a tale of memories ~ bluray episodes on my USB mistaking it for the printer schedule a month ago, it was only about 350mb in size AND she wrote a note about giving me an extension in an oral for English [because she also deleted some parts of my speech along with the ep, haha, lucky I had a backup] so I didn’t get too angry. That reminds me, I should burn down some of my recent stuff soon….
Yeah, re-downloading would suck @$$, especially the slow speed and the huge size of it all D;
Edit:
Actually "deleting" the file is different from "formatting" your whole computer.
If you just "right click + delete" the file, it would appear in your "Recycle Bin" so you could "restore" the file. If you format your computer, BANG everything is gone...sorry you can't retrieve your files or anything that was on the computer before you formatted it. We usually always transfer everything off the computer before we format it.
Edit:
DVDs can only actually fit a little less than 4.5gigs, keep it at 4.3 and you'll be fine.