As this is not a core feature has anyone come up with a workaround?
I personally have looked at integration with the excellent Download Monitor:
Other options I've looked at are:
As well as off-site CDN links (Amazon)
This: http://wordpressapi.com/2010/11/22/file-upload-with-add_meta_box-or-custom_post_type-in-wordpress (Seems a bit backwards but works)
And finally some sort of email url system similar to how e-Junkie works.
All are a little bit too "hacky" for my liking so I thought I'd see if anyone else had any better ideas?