I use wget all the time on my Linux machines, but was surprised to find it missing on my MacBook Pro. Since Mac OS is based on BSD, it uses cURL instead. Here’s a good way to scrape files from a remote server.
curl -O http://www.gutenberg.org/files/21171/mp3/21171-[01-24].mp3
Man page is available at: http://curl.haxx.se/docs/manpage.html