Speed Download is far and away the best I've used. I used to use iGetter but its bugs never seemed to get fixed, no matter how many reports I filed. Use the FlashGot Firefox extension for awesome browser integration (highlight a set of links, right click, download selection).
Since I'd prefer a 100% free-as-in-beer solution, I compiled wxDFast for OS X and it worked wonderfully for everything except Rapidshare. It apparently doesn't support their authentication method.