Trouble with downloading.

Since this is a problem with paid content, did you try contacting the iTunes store support directly? When I've had a problem with downloads that I've paid for, I've gotten a response in 24 hours by email.

Try (1) quitting iTunes; (2) deleting the temporary folder named after your show under your iTunes Library/Downloads; (3) restarting iTunes. I just did this, and it fixed the problem. The download will, of course, need to restart from the beginning, but at least it does resume.

In my case, I know for a fact that the temporary file was corrupted, because I have this **** hard disk error (beachball, total system lockup) that happens from time to time, and it happened while downloading the show that later gave me the problems.

I am practically convinced that this is a problem beyond your (and my) control. I've encountered this "err=9006" problem twice now (once with a tv episode, and another with a movie, both purchased from the iTunes store). The first time, I contacted iTunes Support, and they basically said that I needed to plug my modem/router directly into my computer, and by-pass my wi-fi connection. Sounds like voodoo, right? Anyway, it worked.
The second time, with the movie, I tried the same thing, and it didn't work. I restarted my computer, and my modem/router, and again tried plugging my computer directly into the modem/router, but it didn't work this time. I was about to fire off another email to iTunes support (from the iTunes store link), and it directed me to the "are you sure?" splash page within the iTunes Store, where it gave me the option to download my file, or proceed to contacting iTunes Support. I tried this download link (remember, I tried downloading through my iTunes Store account already via the "available downloads" link 20 times already, which didn't work), and this download link worked!
Something is up here, and as I wrote above, I don't think it has anything to do with any computer set-up, or operating system OS, or internet modem/router. I think it's a network problem - either on your (our) internet service provider's, or on the iTunes Store's end of things. My guess is that with "err=9006" problems, if you repeatedly try to download your problem file enough times (like 100 times!), it will just eventually work. But, try plugging your computer directly into your modem/router - that voodoo may work for you!