Unfortunately, wget does not come with OS X by default. Here are some notes on how to compile from source. It assumes that you have Xcode installed.
1) Download and extract
curl -O http://ftp.gnu.org/gnu/wget/wget-1.16.tar.gz
tar -zxvf wget-1.16.tar.gz
cd wget-1.14
2) Install
2a) If you have super-user powers
./configure --with-ssl=openssl --prefix=/usr/local
make
sudo make install
2b) if not
./configure --with-ssl=openssl --prefix=$HOME/someplace/in/my/path
make
make install