DeepVacuum [OS X]

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For downloading all the linked files from a web page I highly recommend DeepVacuum - a donationware GUI front end to wget, with many options to specify which files to fetch. This is extremely useful for pages with concert bootlegs provided as individual zipped mp3s, which can't be played as an M3U playlist: download and unzip the files, then play them locally instead.

For pictures, I think iScooper is best, though not free: it can grab picture files from multiple addresses and display a fullscreen slideshow while downloading.