.pkg and .app files are actually not ordinary files at all, but directories. When you control-click on one in the Finder, there is an option to see the contents. You can also cd into one in the terminal and look around.
These "bundles" are a whole new and cool (IMHO) feature in OS X - the ability to stick all the resources, graphics, default prefs, sound files and whatnot for a program into an "invisible" directory where they can't get lost. Now there's no need of these "some program " directories full of stupidly named files, where the program you want is just one of about fourty files in there. Also, I think Apple is trying to get rid of resource forks, because that led to so many files getting borked whenever there was any interaction with Windoze, Unix, or the internet. Now you essentially have to fetch the resource fork separately, rather than not being able to get it at all.
Fetch is clever enough, when you ask it to get a directory, to actually search down it and get everything inside it, so the illusion of a .app folder being a single file is preserved.
I'm not sure about the server on OS X, but some ftp servers are clever enough, when you ask for <directory_name>.tar.gz, to actually make .tar.gz of the directory's contents and send that to you - you might want to try that. (if it works, it will significantly reduce the size of the file, so it ought to be faster) Then you just have to decompress the file on your end, and the whole .app structure is restored.