I noticed in my library, I have some updated games. When I go to download, does it download only the changed files, or the entire game? Or if not the game, and the manual, extras, etc., were updated, does it download the new ones, or everything?

You need to click the file you want to download, so normally you should just click either the game file, the patch or the extra that got updated. I say normally since at the moment at least for me the update flags often do not show what exactly updated. But when using the gog downloader it normally recognizes if something has changed and if not, it does not download the whole game file again.
Check this thread for finding out what exactly got updated if you also can not see flags at the game:
http://www.gog.com/forum/general/the_what_did_just_update_thread

Thank you!