I prefer wget :]
and WTF does that have to do with ssh?? wget is for retrieving files using HTTP, HTTPS and FTP.. NOTHING what so ever to do with ssh..
vlad got you started.. what sshd are you running? openssh? vserver from vandyke? it should support sftp no problem. Are you looking for windows client to use? if so winscp is FREE and a great little app that supports both sftp and scp. vandyke has a none free client that is good securefx. On a windows machine you could just use cygwin, etc.. etc..http://winscp.net/
You can also just tunnel ftp through your ssh connection.. you can tunnel any method of file xfer through your ssh connection for that matter
Yes even wget - if done correctly
Some exact details of what your trying to do would be helpful in helping you further.