I personally have not seen much if any difference in downloading by a browser vs. wget. There may be someone out there that has conducted testing on it, but in my downloading life I have not noticed anything.
There shouldn't be any difference if i'm comparing wget on my workstation to chrome/browser downloads on my workstation..
Perhaps what you've seen is someone saying it's faster to grab something with wget directly from their hosted server.. rather than downloading it on your workstation w/ a browser and using scp or something to then xfer it to your hosted server..
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.