I bought an Apple TV last weekend, easy setup, then bought Season 2 of Game of Thrones through the ATV. For some reason, the first episode downloaded okay, although I admit I didn't watch it until the next day, so download could have been slow and I didn't notice.
After that downloading was down to a crawl, 8-10 hours projected download time. This was from the cloud. Reset both wifi router and ATV multiple times. Trying to watch the show on iPad or MBP was a similar situation. Meanwhile, all other streaming sources (from other than iTunes) went quickly. I was beside myself.
I wrote to Apple (via my ATV receipt link), told them my tale of woe and asked for a refund. Early the next day I had a very nice reply from a real person. She apologized for the trouble this caused me and told me a refund was currently in progress. All things considered, I was happy with the result. I turned around and bought the season from Amazon, which I am happily watching on my Roku-HD. Same price.
I think something is wrong with iTunes.