To grab all the files in a directory type mget * (mget for multiple get). You can use different wildcard combinations, like mget *.bz2 or mget ntphpbb2_2003102?.sql.bz2 (where the questionmark indicates a single character wildcard). mput works the same but for uploading.
To download a directory recursively and recreate the directory structure you use mirror. To upload a directory (and its contents and subdirs) you use mirror -R.