There isnt one included with Ubuntu by default. You should try gwget. You can install it by searching Synaptic or typing this in terminal:
Once installed, it will be listed as “Download Manager” in your Applications->Internet menu.
sudo apt-get install gwget
KGet is another download manager, but is geared for KDE integration. You can still run it on Gnome. Just search Synaptic for kget. Kget and the flashgot plugin in Firefox will allow you to automatically have the files download using Kget.
KGet is probably your best option if you dont mind installing part of the KDE libraries to allow it to run.