My favourite command line tool is certainly wget and I use it all the time to download ISO images of different distributions. The many command line options make wget very versatile. You can for example limit the download rate and let wget recursively follow the links in downloaded html code. In addition, wget can continue interrupted downloads.
This, for example, limits the download rate to 100kB/s when loading the new beta release of Zenwalk 5.2 with GNOME:
wget --limit-rate=100k http://pnboy.pinguix.com/gapan/zengnome/zenwalk-gnome-5.2beta.iso
So you can still continue using your broadband for internet surfing without the download noticeably slowing down your connection.
Wget is included in every major distribution. If it is not included in the default installation, you should install it using your favourite package management tool.
Gina Trapani has written a nice overview of wget. Read her Geek to Live: Mastering Wget. I read it and got some new ideas.