download wizard is the best free manager out there. it's small, fast, and written in cocoa. the full version costs $20 (rather expensive if you ask me), but includes a browser plug-in, multiple connections to the same file, etc.
once i finish "learning cocoa", i'm hoping to write a good (and free) download manager implemented as an InputManager that makes use of libcurl (included with osx) so that you can right-click a url in any cocoa app and bring up a download manager (no dock icon or anything). it's probably a good bit above my ability, but i'll try.