Better question is.... why do you want to run wget to retrieve files from a server you know is down? My only thought is maybe you are trying to write a script that will wget a certain file at scheduled intervals.... but then, why do you care? If the script is running at 3am, who cares if it takes 3 minutes or 30 minutes?
You didnt' say what distro you're using, but on older versions of wget, the timeout option was only for reads... not for establishing the connection initially. The developers said is was going to be fixed in future releeases... that was a couple of years ago. Maybe you need to update your wget to the latest version and see if there are new options for connection timouts.