Yes they do. The character models especially (look at the critter). The dynamic lighting is a step forward, and there are a huge number of other improvements.
The UT2K4 engine is 2 or 3 years old by this point; the Doom 3 engine is bleeding edge.
Bandwidth, yes. But Bandwidth =! Download/Upload. Online games usually use a hideously small amount of actual traffic.
From what I hear, it's just a 'community enhanced' (whatever that means) of the stolen Alpha code from last year. There's no 'out', strictly speaking, and it definitely isn't legal, complete, or guaranteed to not do things to your computer.