Most of the common browsers allow you to make 2 parallel connections to a single host when making requests.
This means, for instance, that 2 images can be delivered as a single request, providing some small relief from latency issues.
More information on parallel connections
Note that JavaScript files have to be parsed and interpreted before any more downloads can commence.
The JavaScript download gotcha
The HTML and Net panels in the Firebug extension for Firefox, or Fiddler will show the content and timing of the page as delivered to the client.
The worst effect of this is that script files referenced in the HEAD or early in the BODY of a document will delay downloading the content.
Moving the script tags to the end of the document body (if they are not needed during the loading process) will make the page
appear to render faster (even if it is not actually interactive any sooner).
How does moving the script make any difference?
A Content Delivery Network would allow the browser to exceed the 2 connection limit by exploiting different host names
(note these do not have to be different physical servers).
More information on CDNs
Combining scripts on ASP.NET or Apache
The next generation of browsers will allow up to 8 simultaneous connections. This may speed up some downloads,
but may also cause other problems by overloading the server.
Parallel connection capabilities of current browsers