Multiget is a multi-threaded download manager for any OS
Once installed, Multiget monitors your clipboard for download links -- or you can start putting the app to use via its floating drop box. Find something you want to download in your favorite browser, then click and drag a link onto the box to initiate the transfer. Downloads can also be started via Multiget's task menu.
Multiget supports multiple simultaneous threads per download, FTP and HTTP resuming (as long as the server supports it), and it works through proxies.
The developer provides binaries for Linux and Windows - as well as the source code, of course. Those of you running a Linux distro with apt-get can likely do a simple sudo apt-get install multiget. Mac and BSD users have to jump through the additional hoop of compiling from source, but Multiget will work for you, too!