How do I remotely fetch files from redirected URLs from a terminal?

Use curl instead – and if you know it's a tar archive, you can just pipe the output into tar to extract it automatically.

curl -L https://github.com/simplegeo/python-oauth2/tarball/master | tar xz

If you just want to save the file, use the -o option with your own name, or try -O, which will use the remote file name automatically (but might not always work).

From man curl:

-L: If the server reports that the requested page has moved to a different location (indicated with a Location: header and a 3XX response code), this option will make curl redo the request on the new place