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I use http://geezeo.com for my budgeting. Similar to mint, but I have far more trust in geezeo. But since you want something you can download, have you considered just tracking your expenses in an Excel spreadsheet?
Mint.com for me. Can't download, but I have internet access at home/work/school, so that's no biggie.
Works great for me. I used to just use an Excel spreadsheet that I had created but Mint.com does a lot of the stuff that I was hoping to add to my spreadsheet with a lot less work involved.