These notes assume Xcode and the command-line tools are installed.
Get the current wget from the GNU FTP site. As of the date of this article, wget 1.14 is current. (Update: As Alex notes in the comments, 1.15 is available.)
Building is the typical GNU build sequence, but use the –with-ssl=openssl option with configure.
curl -O ftp://ftp.gnu.org/gnu/wget/wget-1.15.tar.gz
tar xvzf wget-1.15.tar.gz
sudo make install
And it’s done.