Streaming file to SD card

This may be silly but...

Will it be possible (using the default ethernet/SD shield or something custom), to request a large file via HTTP and save that to the SD card (the file would be much larger than what the arduino can old in memory). What kind of speed can be expected?

Basically I want to be able to download a single mp3 file via http to the SD, then play it using the mp3 shield.

(I'm doing an internet-radio-like project with a WRT54G that doesn't have USB. I realize its impractical.)

Well as soon as you have an http server on the other side of the wire that can send the file to your arduino. I guess that the sd library then enables you to save that to the sd card. This will be slow though, as the link is serial at 115200 bps max.
HTH