Often when working on a local installation of WordPress (during theme development for example) I’m prompted to enter FTP information when trying to download something via the admin pages. In most cases it’s because the wordpress installation is owned by the wrong user. I’ve fixed this on my local machine by entering:

sudo chown -R www-data:www-data [path_to_wordpress_install]

After setting the correct owner I’m able to connect to the internet from my local wordpress install.