wget does use filenames (e.g. with -O) (Alioth: #312458).

CHANGES

@@ -27,8 +27,8 @@ bash-completion (2.x)
   * Remove many unnecessary short option completions where long ones exist.
   * Improve chsh, chgrp, chown, configure, cvs, gkrellm, gzip, iconv, lftp,
     look, make, man, mdadm, modprobe, mplayer, mysqladmin, perldoc, rsync,
-    screen, service, scp, ssh, sshfs, update-alternatives, vncviewer, yp-tools,
-    and general hostname completions.
+    screen, service, scp, ssh, sshfs, update-alternatives, vncviewer, wget,
+    yp-tools, and general hostname completions.
   * Add abook and wtf completion, based on work by Raphaël Droz.
   * Add cvsps, dragon, fusermount, jarsigner, k3b, lftpget, pm-utils, rtcwake,
     pack200, unpack200, pbzip2, pbunzip2, pbzcat, pigz and unpigz completions.

bash_completion

@@ -1776,12 +1776,12 @@ for i in a2ps autoconf automake bc gprof ld nm objcopy objdump readelf strip \
     touch vdir awk gperf grep grub indent less m4 sed shar date \
     tee who texindex cat csplit cut expand fmt fold head \
     md5sum nl od paste pr ptx sha1sum sort split tac tail tr unexpand \
-    uniq wc ldd bash id irb mkdir rmdir; do
+    uniq wc ldd bash id irb mkdir rmdir wget; do
     have $i && complete -F _longopt -o filenames $i
 done
 
 # These commands do not use filenames, so '-o filenames' is not needed.
-for i in env netstat seq uname units wget; do
+for i in env netstat seq uname units; do
     have $i && complete -F _longopt -o default $i
 done
 unset i