To download all the music files from an M3U playlist into a local folder, use something like this:

wget -r 'url' -O - | wget -nd -N -i - \
&& ls *.mp3 *.ogg > play.m3u

where url is the address of a playlist, such as one of these.

For more elaborate ways of doing this, see Lucas Gonze's m3udo and Morbus Iff's LeechM3U.

wget hints were found here and here.