Connect via sftp to host:

sftp user@host.example.com

After connecting, some of the basic and most used SFTP commands:

ls           # list the content of the remote directory
lls          # list the content of the local directory
pwd          # print the current directory in the remote host
lpwd         # print the current directory in the local host
cd           # change directory in the remote host
lcd          # change directory in the local host
mkdir        # create a directory on the remote host
lmkdir       # create a directory in the local host
get filename # Download *filename* into current local directory
put filename # Upload into the current

Quickly downloading a file:

sftp user@host.example.com:path/to/file