I highly recommend taking a look at Fetch, particularly for people behind a firewall now that it supports authenticated SOCKS5 proxies.

If you are with an educational institution or a charity, your list should pretty much begin and end with Fetch, due to their generous edu/charity license. But if you're not, there's still plenty of features to like, including great scripting options, and that comprehensive array of firewall/proxy options.

If you've previously tried Fetch 4.x, you'll know it was a strange creature, straddling the Mac OS 9 and Mac OS X divide. With Fetch 5.x, it's a whole new ballgame, and it now looks and feels like a true Mac OS X application.