Try something like this:

    drush dl diff-6.x-2.x

With this command, you download the "diff" module, and more specifically the 6.x-2.x version of it.

For many more details, samples, etc, refer to http://www.drushcommands.com/drush-6x/pm/pm-download and/or http://www.drushcommands.com/drush-7x/pm/pm-download