I was looking for a way to download multiple files over night and came across a few program while I was searching but Speed Download was the one I finally settled on that suited me the best. Its not free, which initially gave me reservations but after trying out the demo for a day I ended up buying it.
It basically does what it says on the tin and adds downloads to a list that you can set up to download in whatever order you like, when you like and so on. The links can be captured when you click on them in a browser or from a text file or you can had them yourself either by typing or cut and paste. Its also got growl support so youll know when something has finished or started.
I'm still playing with it but so far Im quite happy with it. After I've used it for a few more days I'll post an update here.