Download using wget to a different directory than current directory

wget -P /var/cache/foobar/ [...]
wget --directory-prefix=/var/cache/foobar/ [...]

If you know the name of the file ahead of time, you can use the -O option to wget to tell it where to write the file.

wget -O /var/cache/foobar/stackexchange-site-list.txt http://url.to/stackexchange-site-list.txt