For the "best of both worlds" you could combine S.Lott's solution with the xsendfile module: django generates the path to the file (or the file itself), but the actual file serving is handled by Apache/Lighttpd. Once you've set up mod_xsendfile, integrating with your view takes a few lines of code:
from django.utils.encoding import smart_str
response = HttpResponse(mimetype='application/force-download') # mimetype is replaced by content_type for django 1.7
response['Content-Disposition'] = 'attachment; filename=%s' % smart_str(file_name)
response['X-Sendfile'] = smart_str(path_to_file)
# It's usually a good idea to set the 'Content-Length' header too.
# You can also set any other required headers: Cache-Control, etc.
return response
Of course, this will only work if you have control over your server, or your hosting company has mod_xsendfile already set up.
EDIT:
mimetype is replaced by content_type for django 1.7
response = HttpResponse(content_type='application/force-download')
EDIT:
For nginx
check this, it uses X-Accel-Redirect
instead of apache
X-Sendfile header.
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