If you download AutoCAD or other Autodesk products from either the trial or Subscription sites, the executable you get (e.g. AutoCAD_2012_English_Win_32bit.exe) is actually a self-extracting archive rather than a real installer. When you run it, you are prompted for a destination folder, with a default location such as this:

C:\Autodesk\AutoCAD_2012_English_Win_32bit

The actual installer (setup.exe) and all of the files it needs are then unzipped and placed in a folder structure in that location. When the extraction is finished, the self-extracting executable automatically runs setup.exe and the installation proper can begin. Once the installation is complete, the extracted files are left in place.

You can take advantage of this simple knowledge in various ways:

• Sometimes, you may you need to run the installer more than once on the same PC. For example, you might need to uninstall/reinstall AutoCAD, or you might be a CAD Manager who installs AutoCAD for on your own PC and later creates a deployment for the other users. Or you might start installing AutoCAD, cancel it for whatever reason, then come back to it later. If so, don’t just run the downloaded executable again. Instead, locate the actual setup.exe installer that has been left behind and run that instead. That cuts out the extraction step and saves time.
• If you’re going to do standalone installs on several PCs rather than making a deployment, don’t go through the extraction process again and again. Instead, do it once and then copy the extracted folder to a location that can be used from other PCs. This might be a USB drive or DVD, which you can store safely for later reinstalls. If you are going to install to the other PCs from a network drive, during the first install you can directly specify that as the destination folder and cut out the manual file copying step.
• If you think it’s unlikely you’re going to need the extracted files again, you can delete or move them and recover the space. If you download a product and install it, you end up with three copies of the product files using up your space; the self-extractor, the extracted files and the installed product itself. It probably doesn’t all need to be on your C: drive. Although bulk hard disk space is plentiful and cheap, it’s becoming more common to use a small high-speed drive or SSD as the OS/program drive drive, and you might have a significant portion of it given over to a bunch of files you don’t need. Because Autodesk products are increasingly (and sometimes completely pointlessly) bloated, you might be surprised at how much space you can recover.
  However, as Chris Cowgill has pointed out, you may need to have the “media” available when you install Updates, etc. Keeping a copy of the extracted files on a DVD or USB key should do the trick if you’re hard up for hard disk space.

Note that this applies to the Windows downloads only; I know nothing about the mechanics of Autodesk’s Mac installation downloads.