If you use Firefox, the M3U Ripper add-on will help immensely with downloading the archives that still exist in mp3 format.
https://addons.mozilla.org/en-US/firefox/addon/3023You have to use the "experimental version" (1.6) if you're on Firefox 3.0. From there, you right click on the mp3 link, choose "rip playlist contents," and away you go.
Edit: This probably goes without saying, but if you're downloading stuff or making heavy use of WFMU's incredibly generous archives in any way, you need to be pledging during the marathon. Or whenever you have some extra cash burning a hole in your pocket. I know times are tough, but the station fell pretty far short of its fundraising goal this year. Since they run such a tight ship, something's going to have to be sacrificed to plug those holes. I hope it's not the archives. If you have any extra money throughout the year, send a pledge. They'll take your money at any time.
Sorry to get on a soapbox, but I was pretty disappointed that the station missed the goal this year.