This may be a little late, But I saw pabloG's code and couldn't help adding a os.system('cls') to make it look AWESOME! Check it out :

    import urllib2,os

    url = "http://download.thinkbroadband.com/10MB.zip"

    file_name = url.split('/')[-1]
    u = urllib2.urlopen(url)
    f = open(file_name, 'wb')
    meta = u.info()
    file_size = int(meta.getheaders("Content-Length")[0])
    print "Downloading: %s Bytes: %s" % (file_name, file_size)
    os.system('cls')
    file_size_dl = 0
    block_sz = 8192
    while True:
        buffer = u.read(block_sz)
        if not buffer:
            break

        file_size_dl += len(buffer)
        f.write(buffer)
        status = r"%10d  [%3.2f%%]" % (file_size_dl, file_size_dl * 100. / file_size)
        status = status + chr(8)*(len(status)+1)
        print status,

    f.close()

This may be a little late, But I saw pabloG's code and couldn't help adding a os.system('cls') to make it look AWESOME! Check it out :

    import urllib2,os

    url = "http://download.thinkbroadband.com/10MB.zip"

    file_name = url.split('/')[-1]
    u = urllib2.urlopen(url)
    f = open(file_name, 'wb')
    meta = u.info()
    file_size = int(meta.getheaders("Content-Length")[0])
    print "Downloading: %s Bytes: %s" % (file_name, file_size)
    os.system('cls')
    file_size_dl = 0
    block_sz = 8192
    while True:
        buffer = u.read(block_sz)
        if not buffer:
            break

        file_size_dl += len(buffer)
        f.write(buffer)
        status = r"%10d  [%3.2f%%]" % (file_size_dl, file_size_dl * 100. / file_size)
        status = status + chr(8)*(len(status)+1)
        print status,

    f.close()

If running in an environment other than Windows, you will have to use something other then 'cls'. In MAC OS X and Linux it should be 'clear'.