Yes, Magento need a bit of work in order to make digital downloads to work with Guest.
1) in Magento admin navigate to System -> Configuration -> Catalog -> Downloadable product options
There Disable Guest checkout if Cart contains downloadable items -> set it to No.
Shareable -> Yes (it means you not have to log in, in order to download, you just have to know the link)
And basically that’s it. If you want to display the download links right after the successful checkout, then you need to some programming related modification. In any way download links are being sent with an email, and you can even configure them to be active once the order has been invoiced.