If you’d like to try out living in the future right now, here’s how you enable automatic downloads in iTunes:
Make sure you’re running the latest version, 10.3.x, by running Software Update and updating iTunes to whatever is the most current version. Then hit up iTunes preferences and look for this screen:
Where there’s a black bar above, you’ll see your account name/email address. Check off Apps and/or Books if you’d like them to be automatically downloaded to all your devices from the cloud.
You can also look for the same setting on your iOS device (iPhone, etc.) in Settings -> Store:
At present it doesn’t look like music can be automatically downloaded unless your account is in the US due to licensing issues. Hopefully that can be resolved by the time iOS 5 ships this fall.