I'm a little puzzled, and slightly freaked out. Here's what's going on.
On my Droid X, I had several files in my /sdcard/downloads folder.
I just migrated to a Thunderbolt and went exploring through files just now - two of the files (a .pdf and a .html) have mysteriously shown up on my Thunderbolt!
I've made absolutely no attempt to transfer any files over so far. How did these end up on my new phone?