Windows/Mac/Linux: If you're a frequent visitor to popular file sharing sites like Rapidshare you'll want to grab a copy of JDownloader, a java-based tool that completely automates the downloading process.
JDownloader takes all the most irritating things about downloading from popular sharing sites like Rapidshare and Megaupload and either outright negates them or makes them more tolerable. Feed links, even links to multi-part downloads into JDownloader and it will automate the process, circumvent captcha, tweak wait times, auto-reconnect, and even run on a schedule.
JDownloader works as a stand-alone application or with Firefox through integration with the popular Flashgot extension. JDownloader is free, java-based, and available for Windows, Mac, and Linux. Have a favorite download tool, especially for file-sharing sites? Let's hear about it in the comments.