Since the purpose of Wget is background work, it catches the hangup
signal (SIGHUP) and ignores it. If the output was on standard
output, it will be redirected to a file named wget-log.
Otherwise, SIGHUP is ignored. This is convenient when you wish
to redirect the output of Wget after having started it.
$ wget http://www.gnus.org/dist/gnus.tar.gz &
...
$ kill -HUP %%
SIGHUP received, redirecting output to `wget-log'.
Other than that, Wget will not try to interfere with signals in any way.
C-c, kill -TERM and kill -KILL should kill it alike.