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As an update to this question, Mathematica 11.0 introduces a new function URLDownload.

To download a single file, use URLDownload[url,filename]
To download multiple files, try Thread[URLDownload[{url1,url2,…},{filename1,filename2,…}]

Note that the file name part is optional: URLDownload[url] and URLDownload[{url1,url2,…}] are okay. 
In that case, your file(s) will be randomly named and saved by default to your system temp folder, like 

"/tmp/64b4ece0-4e3e-417e-9077-567a26c2c9d1.tmp".

this part

64b4ece0-4e3e-417e-9077-567a26c2c9d1

is a guid(ms naming convention) / uuid
https://www.guidgenerator.com/online-guid-generator.aspx

2af3667e-f647-4ffd-b02f-0385bbc0b39c
dd9310c7-fffe-4b10-9215-c7f185662b95
99d79366-19cf-4eb9-b6a5-d6507812cde1
be920e04-809f-4acc-99e4-9865d180fe88
71cb7b11-164e-4bc0-b9cf-3ca9b1d76289
c601cbb0-fb75-4356-84a5-6df32c49d0c1
ac78fcad-a5dd-49c1-a749-004c2bee8333
eb6aac92-31a6-436c-b2e7-a700d7d50594
74561930-67c3-4e49-a14d-f2124183cbab
9de315cf-1c85-4812-b02a-91c77622cd2d
42523ff7-745b-4f12-be35-3a23ec3da75a
c3065714-88d2-43e3-878b-9a1f4a12bfca
2685ee0b-9a28-4c70-b33e-2737b1ccd52b
b73df99c-7a90-405a-8b85-a538896f292f
a3410d0a-e16e-4342-a8b3-c98cf4597175
4b8ead6a-4aba-49d9-bd17-9a080cbb2977
...