Well to start with - I have used a subscriber website http://www.easynews.com for at least 10 years as my USENET provider. The reason is despite the fact there is a small monthly subscription fee involved - the completion rates of the usenet groups is extremely good and retention rates have always been at least a month (currently about 2 months). They have an excellent (I feel one of the best) web interfaces over the newsgroups. All of the header downloading, filtering and processing that is handled by traditional news readers - is all done server side, so less time and downloading required). They have a near instantaneous search engine across all groups, thumbnail support for all graphic files and videos and a facility to watch for keywords and daily email notification when your watch gets "a hit". Basically it rocks. There have since been other sites that go some of the way to emulate the functionality Easynews provides - but since starting out with Easynews, I've never been disappointed with their service - and I feel that is worth something.
Because the newsgroups are treated as indexed webpages - basically any standard file downloader will do the job.
In terms of free downloaders - in the past I used to swear by Flashget. Since the developers decided to "enhance" flashget, adding a lot of features I never wanted - such as bittorrent support - the product took a pretty steep dive in my opinion (lots of other people feel the same way). You can still download "Flashget Classic" - from their website which is essentially "Flashget - before it was ruined". That is still a very stable program and has everything most people would need in a downloader.
The relatively "new kid on the block", which has covered a lot of ground since it was first released is OrbitDownloader. This program can do something lots of other downloaders can't - and that is capture and download streaming media (videos and music) from websites like those listed on their webpage. It also handles the standard "file downloads" with resuming and split/multi-source downloads. It is still under development and updates are released fairly regularly - it works great but is definitely a work in progress & evolving.
So my favorites are
- Orbit Downloader
- Flashget Classic
For some comparisons of many different download managers.
http://en.wikipedia.org/wiki/Comparison_of_download_managers
If you are stuck with just a "Old Style" news service - and need a NNTP downloader/decoder/previewer for managing your binaries, you have my deepest sympathies ;)