What activities cannot be interrupted?
Well, first of all, touching the keyboard will not crash you computer, even if you're doing heavy process.

So if you're deleting a big number of files or downloading a big file, you can still go ahead and browse the web or write on a text editor, or whatever.
And even if Safari or Pages would crash, the OS is robust enough not to let this crash affect the download.

To sum it up, go ahead multi-task! Mac OS X is a really strong OS and you shouldn't worry about asking him to do multiple things, he's great at it.