I think the reason why some people think wget is faster is that it's faster to download it and install it immediately, automatically, instead of through the browser like Rob said.
I don't use wget that often so I don't know for certain if the download speed is faster.
Axel seems like it would be faster but since it works by finding mirrors and downloading parts of the files from multiple mirrors, it's not going to work if the file is only hosted on one server.