wget Vs urlretrieve of python
Please show us some code. I'm pretty sure that it has to be with the code and not on urlretrieve. 
I've worked with it in the past and never had any speed related issues.
I have a task to download Gbs of data from a website. The data is in form of .gz files, each file being 45mb in size.
The easy way to get the files is use "wget -r -np -A files url". This will donwload data in a recursive format and mirrors the website. The donwload rate is very high 4mb/sec.
But, just to play around I was also using python to build my urlparser.
Downloading via Python's urlretrieve is damm slow, possible 4 times as slow as wget. The download rate is 500kb/sec. I use HTMLParser for parsing the href tags.
I am not sure why is this happening. Are there any settings for this.
Thanks