axel is a very fine downloader that does the job just fine.
It handles resume and it uses multiple concurrent connections to speed up the download.
Install it like this:
sudo apt-get install axel
Download a file like this:
axel http://releases.ubuntu.com/releases/10.04/ubuntu-10.04-beta2-desktop-i386.iso -a
The result would be something like this:
{{:indexes:axel.png|}}