It’s often useful to download external files such as RSS feeds, Twitter feeds and so on. But you’ll also want those files cached, so that you’re not downloading them on every page view. Thankfully, WordPress provides two functions that make downloading and caching files very easy — wp_remote_get and set_transient.

The function below tries to act intelligently — the file will be cached for the time specified in $cache_time, which defaults to the time given by the ‘Cache-control’ header; and if the cache-control time is overridden, the ‘cache-control’ and ‘expires’ headers will be modified before being returned/cached, so that you can easily output the most appropriate headers if you need to.

/**
* Downloads a URL, or returns it from the cache
* 
* The function tries to act intelligently:
* 	(1) The file will be cached for the time specified in $cache_time, which defaults to the time given by the 'Cache-control:' header.
* 	(2) If cache-control time is overridden, the 'cache-control' and 'expires' headers will be modified before being returned/cached, so that you can easily output appropriate headers if you need to.
* 
* @param string $url - the URL to be downloaded or returned
* @param integer $suggested_cache_time - the time to cache the file for (in seconds). If the time given by the 'Cache-control:' header is longer, this value will be overridden. If no time is provided by this variable or by the header, then the time will be set to 1 day
* @param boolean $also_return_headers
* @return mixed - if an error occurs, returns WP_ERROR. Otherwise, if $also_return_headers is true, returns an array with the keys 'body', 'headers', 'response' and 'cookies', otherwise returns the body as a string. See the documentation for wp_remote_get for examples.
*/
function emw_get_cached_url ($url, $suggested_cache_time = 0, $also_return_headers = false) {
	$name = 'egcu-'.md5($url); // A short, unique name for the file to be cached
	// Return from the cache if possible
	if ($item = get_transient ($name)) {
		$v = unserialize(base64_decode($item));
		if ($also_return_headers)
			return unserialize(base64_decode($item));
		else
			return $v['body'];
	} else {
		// Download the file
		$download = wp_remote_get ($url, array ('timeout' => 30, 'sslverify' => false));
		// Check for error
		if (is_wp_error ($download))
			return $download;
		else {
			// Calculate the cache time from the headers
			$actual_cache_time = $suggested_cache_time;
			if (isset($download['headers']['cache-control']) && ($start = strpos($download['headers']['cache-control'], 'max-age=')+8) !== FALSE) {
				$headers_cache_time = substr($download['headers']['cache-control'], $start);
				if (($a = strpos($headers_cache_time, ',')) !== FALSE)
					$headers_cache_time = substr($headers_cache_time, 0, $a);
				if ($headers_cache_time > $suggested_cache_time)
					$actual_cache_time = $headers_cache_time;
			}
			// If no cache time is specified in the headers or the $suggested_cache_time variable, set the cache to 1 day
			if ($actual_cache_time == 0)
				$actual_cache_time = 86400;
			// Modify the headers to take account of the new cache time
			if (!isset($download['headers']['date']))
				$download['headers']['date'] = gmdate('D, d M Y H:i:s \G\M\T', $t = time());
			$download['headers']['cache-control'] = "public, max-age=".round($actual_cache_time*1.01);  // Multiplying by 1.01 ensures the browser will cache the file for slightly longer than the server. This ensures that by the time the browser requests the file again, it will have definitely been refreshed.
			$download['headers']['expires'] = gmdate('D, d M Y H:i:s \G\M\T', $t+(round($actual_cache_time*1.01)));
			// Cache the download
			set_transient ($name, base64_encode(serialize($download)), $actual_cache_time);
			// Return what was requested
			if ($also_return_headers)
				return $download;
			else
				return $download['body'];
		}
	}
}

(The data is stored base64 encoded, because I’ve encountered bugs when simply storing it as serialised data.)