For simple cases of downloading the contents of a page, use curl or wget. Both are command line tools designed to download files over HTTP and have many options. In your case, you'll likely need to make these tools look more like a browser; lutzky's answer and penguin359's answer mention some curl and wget options that are useful in that respect.
Sometimes, when you need to log in, it's a lot easier to first log in manually in a web browser, then export the web browser's cookies (extensions like allcookies or Export Cookies for Firefox can help).
If you need to parse the contents of some pages or post forms, you may need fancier tools than curl and wget. Some good tools there are Perl with
LWP (libwww) and
HTML::TreeBuilder (HTML-Tree) or Python with standard libraries (especially