EZpics -
http://ezpics.kingbastard.com/
All it does is download sequential numbered files, and it can also grab links off a page.
Flashget -
http://www.flashget.com/
This is MY favorite download manager. Use "batch download". You'll put the main url in. like "http://www.site.com/imagefolder/image(*).jpg"
(*) is the number placeholder. Then you select the range of numbers to put in there and download. Its easier than it sounds.
Flashget also has a site-explorer. Put in the url, and it takes all the links and graphics off. You select what you want and put it in your queue. Its very useful for non-numbered/sequential files.