I even saw instances where they referred to m4u as a file containing video and not a playlist so I'm wondering if that extension is even regulated.
If that's what you're referring to, then, yes, they should progressively play as they download in the QuickTime Player. Here's a site I did awhile back that will help you to create the first movie of your SMIL.
http://homepage.mac.com/makentosh/qt4u/
If you need any help with the progression, just post back!
Also, not sure if this will work with .mp4 files, but wanted to tell you anyway.
Try Metadata Hootenanny
http://www.applesolutions.com/bantha/MH.html
(download link at the bottom of the page)
It can create playlists and if it works, may be just what you're looking for.