It's a nice idea, but probably impractical is we're talking about Windows updates. That would mean running something similar to WSUS, which requires a huge amount of space to hold all of the updates - http://technet.microsoft.com/en-us/wsus/default.aspx
If you mean for OneCare updates, since each PC needs to talk to the servers directly in order to validate their subscription status, the only time it would really help would be for large program updates. Thanks for the suggestion.
-steve