This assumes you use Mac OS X and Webfaction.com shared hosting.
To avoid using an ftp or sftp client to download a folder to your computer locally, this is what I did.
Here, I am copying a wordpress folder into my local folder.
In Terminal,
scp -r yourwebfactionusername@yourwebfactionusername.webfactional.com:/home/yourwebfactionusername/webapps/yourwebappname /Users/yourmacusername/folder