I am not absolutely sure but I think that the android market just downloads a file (.apk) and places it on a certain directory (maybe it puts a file or two for reference in other places so that menu items are created). On the other hand, apt is a package manager for linux. It checks and fulfills dependencies, puts the right files on the right location, configures the installation, backs up old installation files, sets up initialisation scripts etc.
On the other hand the reason you get 16mb of download when you run apt-get update is because the phone downloads the whole list of available applications on the device. The package manager needs it to check for dependencies and to provide info about the apps (apt-cache search)

And in reply to the next posters, app downloader does the market job more than adequately
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