I've grown to using 'wget' on the Linux command line to download files. I switched to the Mac a while back (and just installed a fresh copy of Leopard on my Macbook Pro). I was sad to find again that there is no wget in OS X without installing Darwin ports or Fink. However, there is hope! OS X comes pre-installed with cURL, which can be used the same way as wget. Here's an example command to download a file:

curl -O http://www.domain.com/file.zip

I set up a simple alias in my ~/.profile file to disguise this as wget:

alias wget = 'curl -O'

Now, when in the OS X terminal, I can use the wget command to download files!