Let’s say a friend sent you a link to an app or an MP3 file, and you just want to download the thing. Normally, you’d copy the URL, open your browser, and paste the URL into the address bar. In some browsers, you'd even need to paste the URL into the address field, hit Enter, wait until the file loads, and then save it. There is an easier way:
Open Automator. From the list of templates, select Service. At the top right of the window, set the service to receive selected URLs in any application. Then, in the Internet group of actions, double-click on Download URLs. That will add it to the editing window on the right. By default, it will download URLs to your Downloads folder; if you wish them to go somewhere else, select that other location from the Where drop-down. Save the service and give it a name, such as Download Selected URL.
Now, in any app that supports services, find the URL of a downloadable file (or, for the purposes of testing, any URL at all) and select it with your cursor. Open the Services submenu from the application menu and select Download Selected URL from the list. (Or right-click on the selected URL and choose the service from the context menu’s Services section.)
The file connected to the selected URL should download to your selected folder. If it’s especially large, you’ll see a spinning cogwheel on the right side of the menubar while the service is running; clicking on that will open a menu where you can cancel the download if you wish. When the download is done, check the destination folder; your file should be there.
You can make this quicker by assigning a keyboard shortcut to your service: Open System Preferences and select the Keyboard preference pane. In the Keyboard Shortcuts tab, select Services from the list to the left. Find Download Selected URL in the list on the right and double-click to its right. You can then enter a keyboard shortcut—Control-Command-D, perhaps—to assign it to your service.