I would like to know, if there are any events exposed that i can hook into, on the dowload of media (pdf, docx etc.).
In good old UnifiedFile world, we used to have these events but not sure about the current MediaData. I managed to find an article on episerver world describing to implement IRenderTemplate and IHttpHandler but not sure about the last bits...
//Do custom processing
You can base your custom transmitter implementation on either EPiServer.Web.BlobHttpHandler or EPiServer.Web.MediaHandlerBase,
and use the TransmitFile method for transmittance of file data.
I think this blog post should point you in the right direction: http://fellow.aagaardrasmussen.dk/2016/06/12/how-to-intercept-the-download-of-a-media-file/