If you need to download a lot of files from various web sites and don’t want to sit there clicking and waiting all day, build yourself a quick wget script. With wget installed in ~/config/bin, create a text file looking something like this:

wget http://www.somesite.com/dir/filename.zip
wget http://www.anothersite.com/files/mp3/audiotest.mp3
wget http://www.hoohaa.com/images/screenshot.gif

and so on. The easiest way to get the download URLs is to right-click the actual link in your browser, choose Copy Link Location, and paste it into the script. Save the script to ~/config/bin as, say, getfiles. Launch a Terminal, cd to the directory you’d like the files downloaded to, and type getfiles. Go to bed.
This is a great way to download lots of software from BeBits, for example.
See also: Use SoftwareValet for Batch Transfers.

Joachim Seemer (J.Seemer@gmx.de) adds:
There’s also the „-c“ flag, which allows you to resume cancelled downloads. With it, even large downloads of game demos etc. are no problem. Just enter

wget -c http://www.site.com/largefile.zip

each time you connect to the net and watch how it gets the file step for step, skipping over the already downloaded part. Of course you’ll have to make sure to always call wget from the same folder or it keeps starting from the beginning.
Here’s a tip to easily get the URL of an incompletely downloaded file.
And here’s a tip to achieve similar things with SoftwareValet.