Our files are hosted on about a dozen servers, worldwide, and ideally you should be getting your file from the one closest to you geographically. There could be other factors affecting your download speeds, though. Anything from internet outages in your region to particular protocols implemented by your ISP.
The current version of the MacGameStore client has an intelligent downloader that is very good at compensating for many of these factors. Just try to be patient and let the downloader keep trying. If it's been stuck without any progress for more than an hour, or so, then you should probably try to remove the download and retry. Clicking "Buy Now" on a game you already have purchased won't charge you again.