An idle CPU and GPU will consume less power than one fully loaded. This has been true for a while. Modern Intel and possibly AMD CPUs have technologies that allow changing of the clock rate by the operating system (read the Intel SpeedStep Wikipedia article), and this is supported by all modern operating systems.
Hard disks can be powered down when not in use. In the Windows power control panel, there's a plethora of power-saving options that you can experiment with.
The "extreme economical mode" on the PC platform is sleep, hybrid sleep, and hibernation modes. There's a lot you can do to manage power usage on a PC (and desktops/laptops now consume less power than before, so you're getting more bang for your power nowadays than ever before). But, there's no hardware you can add on to a PC to make it go into a super low-power mode.
You ought to offload your download tasks to an ARM based system such as your router or something like a Raspberry Pi, and shut down or hibernate/sleep your gaming system when not in use.