This is part of the beta iCloud services that are working in the U.S. While it may not technically be a cloud service, it is part of what iOS 5 and iCloud are bringing.
Whenever you purchase a new app, book, or music from one of Apples stores it will automatically download on your other devices and computer. It only works with iOS 4.3.3 and iTunes 10.3, and only in the U.S, officially.
You can turn this behavior off on each device by going to Settings > Store. In iTunes you can turn it off in Preferences > Store.