[Galaxy S6 Q&A, Help & Troubleshooting] dehnhaide:
For those in need I have just received another confirmation that my solution works. Here are the details!

Sooo... let me explain before you begin recovery (and it will work, believe me!). 1) worry not!) 2).... the whole wrong comes from Odin. No matter what version of Odin you're using (and I used 3.10.6) and what firmware are you trying to flash (original, not so original, with MD5 or without) Odin will **** up your phone and get you stuck to the bloody "Downloading" screen. For me it happened after having a custom ROM installed and trying to revert to Vodafone UK original rom (namely "G920FXXU1AOCZ_G920FVFG1AOC4_G920FXXU1AOCW_HOME.tar.md5"). DITTO! On some S6s ODIN will ruin your life and you can check that there are other similar horror stories around.

HOW DO I FIX THIS?

Well... pretty simple! Thank God! The idea is that once you reboot you phone and it shows as stuck in "Download" screen you have to flash the "recovery.img" that is actually inside the ".TAR" or ".TAR.MD5" file you have just flashed.

To do so you have to actually put the "recovery.img" you have just extracted from the ".TAR.MD5" (or just ".TAR) into a flashable file that ODIN understands. Yes, your'e right, in a blah-blah.tar.md5 or blah-blah.tar file.

To do so I have downloaded and installed 7Zip (since it's able to mangle .tar files as opposed to WinRAR) and also downloaded a "pristine" .tar file like the TWRP recovery (e.g. twrp-2.8.6.2-zeroflte.img.tar). The TWRP fil actually contains in it a modified "recovery.img" file.

Further on I have created a copy of the TWRP recovery file and named it "my-recovery.img.tar" (or call it whatever it fits you), opened it up in 7Zip and just dragged the "recovery.img" (you have extracted previously from the exact firmware ODIN has ruined at flashing last time) over the existing one in the archive. Click OK when 7Zip will prompt you that you are going to overwrite the existing "recovery.img" and you are done.

Now simply flash the "my-recovery.img.tar" via ODIN to you S6 and once done you'll have a functional phone with the latest firmware! :)

DON'T FORGET to go into the newly created recovery and factory reset! For your own safety the CSC has to be aligned from one old firmware to the new one.

Here is the recovery image for Italy (Vodafone) 5.0.2	G920FXXU1AODG to get you out of the trouble with the latest firmware (get it here):

my-recovery.img.tar

ATTENTION

While the above described procedure will get you out of trouble caused by ODIN and out of the "Downloading" mode it will not actually solve the whole issue. I just discovered myself that once I tried again the same ODIN firmware re-flashing with a different firmware I got stuck to the same nightmare.

The solution is, once you go through the procedure I have described, to open up Samsung Smart Switch (the new "KIES" for S6 and S6 Edge), go to "MORE" --> "Emergency software recovery and initialization" and perform that task! I will actually re-write the latest firmware you have flashed to your phone BUT will also solve the ODIN issues. On my phone, after doing so, I was able to flash this latest Vodafone Italy I have uploaded here.

The "Emergency software recovery and initialization" procedure has to be completed BEFORE you finish the setup procedure of your S6, you know the "WiFi" / Accounts / blah, blah (after flashing the firmware) and not afterwards. It least so I discover it to work.

Please let me know how this tutorial worked for you.