The other week, I created a little library for downloading content from the Internet: inetutils4j
This library allows you to set proxies (HTTP, FTP, SOCKS) and download of remote resources to a local file, byte array or a String with specific encoding. The library handles redirects automatically, which makes it great for downloading files from sites like Sourceforge.net.
Kudos to Mark Hall from the Weka team, who figured out the redirection handling in the package manager, where I got bits of the code from. 🙂