Both do the same thing, more or less. Use whichever your system has installed.

Download a File

wget https://wiki.skullsecurity.org/images/c/ca/500-worst-passwords.txt
curl -O https://wiki.skullsecurity.org/images/c/ca/500-worst-passwords.txt

Download and Rename a File

wget -O terrible-passwords.txt https://wiki.skullsecurity.org/images/c/ca/500-worst-passwords.txt
curl -o terrible-passwords.txt https://wiki.skullsecurity.org/images/c/ca/500-worst-passwords.txt

Resources