I'm looking for a python library or a command line tool for downloading multiple files in parallel. My current solution is to download the files sequentially which is slow. I know you can easily write a half-assed threaded solution in python, but I always run into annoying problem when using threading. It is for polling a large number of xml feeds from websites.
My requirements for the solution are:

Should be interruptable. Ctrl+C should immediately terminate all downloads.
There should be no leftover processes that you have to kill manually using kill, even if the main program crashes or an exception is thrown.
It should work on Linux and Windows too.
It should retry downloads, be resilient against network errors and should timeout properly.
It should be smart about not hammering the same server with 100+ simultaneous downloads, but queue them in a sane way.
It should handle important http status codes like 301, 302 and 304. That means that for each file, it should take the Last-Modified value as input and only download if it has changed since last time. 
Preferably it should have a progress bar or it should be easy to write a progress bar for it to monitor the download progress of all files.
Preferably it should take advantage of http keep-alive to maximize the transfer speed.

Please don't suggest how I may go about implementing the above requirements. I'm looking for a ready-made, battle-tested solution.
I guess I should describe what I want it for too... I have about 300 different data feeds as xml formatted files served from 50 data providers. Each file is between 100kb and 5mb in size. I need to poll them frequently (as in once every few minutes) to determine if any of them has new data I need to process. So it is important that the downloader uses http caching to minimize the amount of data to fetch. It also uses gzip compression obviously. 
Then the big problem is how to use the bandwidth in an as efficient manner as possible without overstepping any boundaries. For example, one data provider may consider it abuse if you open 20 simultaneous connections to their data feeds. Instead it may be better to use one or two connections that are reused for multiple files. Or your own connection may be limited in strange ways.. My isp limits the number of dns lookups you can do so some kind of dns caching would be nice.
There are lots of options but it will be hard to find one which fits all your needs.
In your case, try this approach:

Create a queue.
Put URLs to download into this queue (or "config objects" which contain the URL and other data like the user name, the destination file, etc).
Create a pool of threads
Each thread should try to fetch a URL (or a config object) from the queue and process it.

Use another thread to collect the results (i.e. another queue). When the number of result objects == number of puts in the first queue, then you're finished.
Make sure that all communication goes via the queue or the "config object". Avoid accessing data structures which are shared between threads. This should save you 99% of the problems.
Library or tool to download multiple files in parallel