I love using a program called “Download Them All”. I was at Twitter Math Camp 2012 and showing this program to @approx_normal, @mesimmons5, @druinok, and some others. It's a FireFox add-in must-have!
Basically, if you come across a page on the web that has various links for downloading files, you can download all of them with one click.
You can also rename, set folders and more.
This came in handy when I had to download the Exeter problems at #TMC12 to my MacBook so I could work on them with the rest of the tweeps.