NullReferenceException in PipelineStepManager.ResumeSteps

You need register your handlers in each HttpApplication instance. There may be several pooled instances of HttpApplication. Application_Start is called only once (for IIS 6 and IIS 7 in classic mode - on the first request, for IIS 7 integrated mode - on web app start, just before any request). So to get all working you need to add events handlers in overrided Init method of HttpApplication or in constructor of it. If you add them in constructor - these handlers will be invoked first, even before the handlers of registered modules.
So your code should look like this:

public class MySmartApp: HttpApplication{
    public override void Init(){
        this.BeginRequest += new EventHandler(MvcApplication_BeginRequest);
        this.EndRequest += new EventHandler(MvcApplication_EndRequest);
    }
    protected void Application_Start(){
        RegisterRoutes(RouteTable.Routes);
    } 
}

or like this:

public class MySmartApp: HttpApplication{
    public MySmartApp(){
        this.BeginRequest += new EventHandler(MvcApplication_BeginRequest);
        this.EndRequest += new EventHandler(MvcApplication_EndRequest);
    }
    protected void Application_Start(){
        RegisterRoutes(RouteTable.Routes);
    } 
}

I get this one all the time. It means that the user started to download a file, and then it either failed, or they cancelled it.

To reproduce the exception try do this yourself - however I'm unaware of any ways to prevent it (except for handling this specific exception only).

You need to decide what the best way forward is depending on your app.