iTunes 10.3 was released a couple of hours ago and one of the new features it brings is a 'Purchased' screen that lists every song, app and book that you have ever downloaded from the iTunes Store, App Store or iBookstore. You can get to the 'Purchased' screen simply by going to the iTunes Store homepage and clicking "Purchased" from the sidebar on the right of your screen(see below), it should also have a 'New' tag beside it, at which point it will take you to 'Purchased' screen.
The 'Purchased' screen is a really handy feature to easily and quickly find a previous purchase and instantly download it or even download all of your previous purchases with just one click. The feature, which is also included in iOS 5, is part of Apple's iCloud, which was unveiled at yesterday's WWDC keynote. The 'Purchased' screen also gives you some fairly powerful tools to find the exact purchase you want, either from just searching, only displaying items not downloaded to your iTunes library or just list the purchases alphabetically.
Make sure to jump the break for a whole slew of screenshots that demonstrate the new feature from iTunes 10.3 (for developers, this feature is also present in iTunes 10.5).