This program works for Linux, Windows and Mac.
The free download manager wget lets you donwload all the files on a page or directory with a single command. It also allows you to resume downloads after getting disconnected letting you start where you left off instead of starting the download at 0% again.
There's also flashgot, flashget, free download manager, download reaper, leechget, download accelerator pro, downloadthemall extension in firefox and many others. wget is just multi OS and very very simple and fast but useless if you can't live without a UI.