Jigdo (Jigsaw Download)
Before jigdo, there was a worse way : downloading the entire ISO. Debian get updated often.
You can install the package using Synaptic. After that, you can type:
in a terminal to use it.
When you run jigdo-lite(1), you can put an argument for the CD numbers in brackets, for example:
which would download them all one after the other.
http://www.debian.org/CD/jigdo-cd/ - Downloading Debian CD images with jigdo
http://packages.qa.debian.org/j/jigdo.html - jidgo package at the Debian Package Tracking System