I quite often want to / have to leech all files of a certain type from a website. The best way to do this is by using wget. The following command will download all files of type mp3 from a website:
wget -r -l1 -t1 -nd -N -np -A.mp3 http://example.com/mymp3s
Do this from within the folder where you want to download the files to.
This is actually more for my own record so that I don't have to man and google next time, but I'll try and explain all the switches when I'm motivated to do so :)