Many people know about Fink and MacPorts, but few seem to know about Rudix.
MacPorts and Fink can compile complex *nix software for Macs, including all dependencies, but they also add a lot of bulk to your hard drive. So if you're just trying to download one simple tool like wget, sox, or imagemagick, they may be overkill for what you need.
The number of packages isn't nearly as large in Rudix as it is in the others, but if they have what you're looking for, you'll just be downloading one small .pkg file for each *nix program you want.
[crarko adds: I haven't tried Rudix; their home page notes that the project uses Python, and as such, there are many Python modules available.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20100504061000974