If you need the highest resolution (30 arc-seconds (~1 km)) then you can download by tile.
If you want global grids, choose the generic or the ESRI format and the resolution and variables you want.
These grids can be imported into most GIS applications.
or as global grids:
Min. Temperature --- Max. Temperature --- Mean Temperature --- Precipitation --- Bioclim 1-9 & 10-18 --- Altitude
2.5 arc-minutes resolution
Min. Temperature --- Max. Temperature --- Mean Temperature --- Precipitation --- Bioclim --- Altitude
5 arc-minutes resolution
Min. Temperature --- Max. Temperature --- Mean Temperature --- Precipitation --- Bioclim --- Altitude
10 arc-minutes
Min. Temperature --- Max. Temperature --- Mean Temperature --- Precipitation --- Bioclim --- Altitude
ESRI grids
These grids can be used in ArcMap, ArcInfo ("workstation", with the GRID module) and ArcView (with the Spatial Analyst extension).
30 arc-seconds (~1 km)
Min. Temperature --- Max. Temperature --- Mean Temperature --- Precipitation --- Bioclim --- Altitude
2.5 arc-minutes
Min. Temperature --- Max. Temperature --- Mean Temperature --- Precipitation --- Bioclim --- Altitude
5 arc-minutes
Min. Temperature --- Max. Temperature --- Mean Temperature --- Precipitation --- Bioclim --- Altitude
10 arc-minutes
Min. Temperature --- Max. Temperature --- Mean Temperature --- Precipitation --- Bioclim --- Altitude