In my opinion it's easier to put Opera (12) on Windows than wget; also, it doubles as a torrent client. Older Opera versions (that still have this feature) had versions for a large number of OS-es.
Wget has already been ported to Windows, and because it's free software, you can try port it to any other OS. Opera, on the other hand, hasn't been ported to nearly as many OSen, and you don't get the source to help with the effort (plus it's much larger than a CLI file downloading utility). Your idea of cross-platform is weird.
