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.