Jigdo (Jigsaw Download)
Before jigdo, there was a worse way : downloading the entire ISO. Debian get updated often.
You can install the package (jigdo-file) using Synaptic. After that, you can type:
jigdo-lite
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: jigdo-lite http://cdimage.debian.org/debian-cd/5.0.0/i386/jigdo-cd/debian-500-i386-CD-{1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31}.jigdo
which would download them all one after the other.
See Also
http://www.debian.org/CD/jigdo-cd/ - Downloading Debian CD images with jigdo
jigdo - jidgo at the Debian Package Tracking System
External Links
http://atterer.net/jigdo/ (archive.org) - jigdo (Jigsaw Download) - a download manager for CD/DVD images
http://www.tldp.org/HOWTO/Debian-Jigdo/ - Debian Jigdo mini-HOWTO