GM_download_emu.user.js

// ==UserScript==
// @name       GM_download emulation
// @namespace  http://tampermonkey.net/
// @version    0.1
// @description  emulate GM_download functionality
// @require    https://github.com/eligrey/FileSaver.js/raw/master/FileSaver.js
// @match      http://tampermonkey.net/empty.html
// @grant      GM_xmlhttpRequest
// @copyright  2014, Jan Biniok
// ==/UserScript==

var GM_download_emu = function(url, name) {
    GM_xmlhttpRequest({
    	method: 'GET',
    	url: url,
    	onload: function(r) {
            var bb = new Blob([r.responseText], {type: 'text/plain'});
	    saveAs(bb, name);
    	}
    });
};

GM_download_emu('http://tampermonkey.net/favicon.ico', 'favicon.ico' /* .exe .sh .crx*/);

text/plain? Maybe {type:parseResponseHeaders(r.responseHeaders)['content-type']}? Or at lease application/octet-stream?

Or maybe responseType: "blob",, then saveAs(r.response, name);.
You see, this version doesn't really work in some cases(images, so far as I've discovered).