This has been requested recently, but this is exactly why the podcast system exist as it is a standardized way to retrieve audio files from a website.

Songbird I think has this feature and I've been trying to find a way to save myself some time - I love to read blogs but I just can't keep up with everything else going on, so having the ability to download all the tracks that have been posted at a particular blog would be really helpful (i.e., subscribe to a Web site like a podcast). I had tried playr.hubmed.org but it doesn't seem to be working currently. Thanks!