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While all three of these Linux commands can be used to download files, if you want to know my preference, it's wget all the way (unless I need to add a layer of security, at which point I use scp).
There are plenty of tools for transferring files between two computers on the Linux command line, but the scp and rsync commands will cover almost any use case. Heres how and when to use them.
Of course, you can also use the pscp command to copy files from a Unix system to your Windows box. As with scp, you simply reverse the order in which you specify the files: ...