I've written a plug-in for Azureus that allows running an arbitrary command line once a download completes. You could, for example, send yourself an e-mail once this happens, but there's actually already a plug-in dedicated for this.
I'm using this plug-in to check if AVIs I download use packed bitstream, and if they do, unpack them. This way, there's one less thing to do before I can play the movie on my standalone DVD/DivX player.
For more information, see my plug-in page.