Use Content-Length, definitely. The server utilization from this will be almost nonexistent and the benefit to your users will be large.
For dynamic content, it’s also quite simple to add compressed response support (gzip). That requires output buffering, which in turn gives you the content length. (not practical with file downloads or already compressed content (sound,images)).
Consider also adding support for partial content/byte-range serving – that is, capability to restart downloads. See here for a byte-range example (the example is in PHP, but is applicable in any language). You need Content-Length when serving partial content.
Of course, those are not silver bullets: for streaming media, it’s pointless to use output buffering or response size; for large files, output buffering doesn’t make sense, but Content-Length and byte serving makes a lot of sense (restarting a failed download is possible).
Personally, I serve Content-Length whenever I know it; for file download, checking the filesize is insignificant in terms of resources. Result: user has a determinate progress bar (and dynamic pages download faster thanks to gzip).