I'm seeing 38% faster downloads from Phoenix (nearest CloudFront edge: L.A.). I ran 5 trials on a 178MB video hosted on S3 [1] and CloudFront [2]. The S3 GETs took: 6m02s, 1m50s, -failed after 28MB- , 2m01s, 2m04s. The CloudFront GETs took: 3m40s, 1m10s, 1m23s, 2m05s, 1m25s. Ignoring the failed S3 run, we can compare average client latency: 2m59s vs 1m50s.
Yes that is interesting without being shocking. True we can't conclude anything from one spin so if you have time please run it again and share. If it was an anomaly then I think it's: a) merely verification that the pipes downstream are unreliable and/or b) your edge location didn't have the file cached so fetched from S3 before serving to you. But if you continue to see unexpected results do tell.
[1] http://2008.s3.amazonaws.com/09/javascript.mp4
[2] http://d11tgpuxrsgxu4.cloudfront.net/09/javascript.mp4