Is it possible to download using the Windows command line?

Starting with Windows 7, I believe there's one single method that hasn't been mentioned yet that's easy:

Syntax:

bitsadmin  /transfer job_name       /download  /priority priority   URL  local\path\file

Example:

bitsadmin  /transfer mydownloadjob  /download  /priority normal  ^
                  http://example.com/filename.zip  C:\Users\username\Downloads\filename.zip

^{(Broken into two separate lines with ^ for readability (to avoid scrolling).)}

Warning: As pointed out in the comments, the bitsadmin help message starts by saying:

BITSAdmin is deprecated and is not guaranteed to be available in future versions of Windows.
Administrative tools for the BITS service are now provided by BITS PowerShell cmdlets.

... but another comment reported that it works on Windows 8.

You can write a VBScript and run it from the command line

Create a file downloadfile.vbs and insert the following lines of code:

' Set your settings
    strFileURL = "http://www.it1.net/images/it1_logo2.jpg"
    strHDLocation = "c:\logo.jpg"

' Fetch the file
    Set objXMLHTTP = CreateObject("MSXML2.XMLHTTP")

    objXMLHTTP.open "GET", strFileURL, false
    objXMLHTTP.send()

If objXMLHTTP.Status = 200 Then
Set objADOStream = CreateObject("ADODB.Stream")
objADOStream.Open
objADOStream.Type = 1 'adTypeBinary

objADOStream.Write objXMLHTTP.ResponseBody
objADOStream.Position = 0    'Set the stream position to the start

Set objFSO = CreateObject("Scripting.FileSystemObject")
If objFSO.Fileexists(strHDLocation) Then objFSO.DeleteFile strHDLocation
Set objFSO = Nothing

objADOStream.SaveToFile strHDLocation
objADOStream.Close
Set objADOStream = Nothing
End if

Set objXMLHTTP = Nothing

Run it from the command line as follows:

cscript.exe downloadfile.vbs 

Windows 7 includes PowerShell and there's pretty much nothing you can't do with PowerShell.

Native alternative to wget in Windows PowerShell?