As Apple servers are overwhelmed right now by users trying to download IOS 5, many users are reporting "Error -3200" or "Error -3259" for iPads. The error is just an indication that your download is timing out because of all of the demand. If you want to bypass this problem and get IOS 5 as soon as possible, here's what to do:
MAKE SURE TO BACKUP YOUR DEVICE BEFORE UPGRADING.
1. Download the IOS 5 Firmware directly from Apple by clicking on the links below, save the file to your desktop:
iOS 5 IPSW Firmware Update Files
2. After downloading the desired firmware, you can shift-click (PC) or option-click (Mac) the "Update" button in iTunes. A file dialog will open and let you choose the downloaded ipsw-file from your desktop.
3. Proceed with the upgrade as usual.
4. If you get Error -3002 at this point, try to do a Restore, rather than an Upgrade - remember to shift-click (or option-click on a Mac).
Please let me know if you have any issues with this procedure in the comments section below.
UPDATE - Similar solutions for iOS 5.1: http://obscureport.blogspot.com/2012/03/solution-to-ios-51-download-problems.html