You can find a list of download managers at the end of the wikipedia article
http://en.wikipedia.org/wiki/Download_manager
Personally I recommend wget. It should be installed on your system already.
use 'wget <url>' to download an URL, 'wget -r <url>' do download recursively,
'wget -p <url>' to download a complete website (including images) and 'wget -c <url>' to continue an interrupted download.