Oh my, could iOS 5 finally fix one of my longest standing pet peeves? If the latest betas are any indication, it might! Tap buy (download or install) in the App Store and instead of being torn out and thrust back to your home screen, the app simply starts to download in the background and the button greys out when it's done.
iTunes has also been improving over the last couple of betas. Now, if you buy an album, you can see the download progress of each track right in the list.
I'm so happy, I might even update when it's finally released!
UPDATE: It seems to still throw you out if you're in the main store, not if you're in your previous purchases tab. Which is something, just not everything we wanted. Apple, make it happen!
UPDATE 2: Some of you are telling us you're seeing this on iOS 4.3.x as well. iTunes and App Store pull their content from the web, so Apple can update them whenever they want without having to release new firmware. So, it's possible some of this was or is being pushed out to everyone. Let us know what you're seeing!