Also if you want to know the block download speed of the nodes you can check the resource monitor (Windows 7). Either via task manager or by executing perfmon.exe /res.
The network tab shows all the connections. You can filter by bitcoin process too.
Interesting. Just to learn more of the backgrounds: Is there a way to check this on OS X as well? A network monitor comes included with LittleSnitch and there I can see the addresses the Bitcoin client is connecting to. But it does not show any speed information.
To be clear: the client is working well at the moment. But just out of curiosity.