Download Facebook and Flickr albums with Fotobounce
Fotobounce is an app for Mac and Windows that lets you quickly do just that, and organize your downloaded photos, too. It also has built-in face recognition, to make tagging those photos a lot easier.
You can also use Fotobounce to upload photos -- pre-tagged with the help of face-recognition -- to Facebook and Flickr. It could potentially be a real time-saver.
There's also a mobile version, so you can remotely access your photos from a BlackBerry or iPhone, and still keep them private.