I use an older version of Teleport Pro. I can not say I have been happy with the newer versions.
GoZillia used can do the same too if you know what you are doing with it. (Personally, i don't like the spyware that comes with it)
There is also the program Download Accellerator where you can get it to download every link from a page that you are visiting.
How ever, some time i need to hit a manufacturer's website for all there drivers. As some time, I have found that you can long onto the website via Anonymous FTP on whatever FTP client. And from there, I can download entire directories.
I have done that with the ESS Chipset site as i find it's useful to have their drivers.
(Now if I could do the same with Creative and S3)