Wget can do something which curl can't: recursive downloading, and in particular full site mirroring. It's not useful every day, but when I need it I'm glad it's there.
Here's a nice page detailing the differences between the two tools -- apparently written by the creator of curl itself:
http://daniel.haxx.se/docs/curl-vs-wget.html (and a more comprehensive chart with additional tools: http://curl.haxx.se/docs/comparison-table.html )