Moving ahead and assuming you have Xcode and the command line tools installed, launch Terminal and enter the following commands as shown.

First, use curl to download the latest wget source:
curl -O

Or to use an older version (prior versions of OS X)
curl -O

(sidenote: a new version of wget may be available, version 1.16.3 (wget-1.16.3.tar.gz) has been confirmed to work in OS X El Capitan and OS X Yosemite, 1.15 is confirmed compatible with OS X Mavericks, while 1.13.4 has been confirmed compatible with OS X Mountain Lion. You can pick whichever one you want from the directory if you want a different version)

Next we use tar to uncompress the files you just downloaded:
tar -xzf wget-1.15.tar.gz

Use cd to change to the directory:
cd wget-1.15

Configure with the appropriate –with-ssl flag to prevent a “GNUTLS not available” error:
./configure --with-ssl=openssl

Note if you still have an error in OS X 10.10+ and OS X 10.11+, use this variation of configure (from Martin in the comments):

./configure --with-ssl=openssl --with-libssl-prefix=/usr/local/ssl

Build the source:

Install wget, it ends up in /usr/local/bin/:
sudo make install

Confirm everything worked by running wget:
wget --help

Clean up by removing wget source files when finished:
cd .. && rm -rf wget*

You’re all set, enjoy wget in Mac OS X.

The latest version of wget should configure, make, and install fine in OS X El Capitan and Yosemite as well.