Bitkinex - is a handy network client supporting multiple transfer protocols (FTP, FTP(S), SFTP, HTTP(S) and WebDAV). Supports segmented downloads - Full Features list

WinSCP - Free SFTP and FTP client for Windows. Supports custom commands. 
Also available - WinSCP Portable

FileZilla - Free FTP client that runs on  all major platforms. Supports transferring multiple files at the same time. 
Also available - FileZilla Portable.

PuTTy - Free SSH client for Windows. For Macs, you can just use the built-in terminal or xterm. Or see below for link to Mac version of Putty. 
Also available - Putty Portable.

OpenVPN Community Downloads - Free VPN client for Windows. Linux and Macs generally come with clients built-in into their network managers.