If you need to download from a site all files of an specific type, you can use
wget to do it.
Let's say you want to download all images files with jpg extension.
wget --level=1 -r -A .jpg http://site.with.images/url/
Now if you need to download all mp3 music files, just change the above command to this:
wget --level=1 -r -A .mp3 http://site.with.music/url/
The same can be applied to any other type of file. Movies, music, images, and others.
Be respectful with owner's rights and with the bandwidth of the site and –level=NUMBER maximum recursion depth (inf or 0 for infinite).