Thought I'd mention this is a piece of cake if you use Opera
On the the web page.
A new Opera "page" will open up with all links
Type some filtering text in the search box in the upper right hand corner.
e.g. .pdf or .jpg or any part of the text in the url
Select all the links you want (using usual Windows selection type mechanisms)
Right click to choose open in Background Window or Tab or Save As etc...
Works for 100's of selected links on the page - if you need that
A small write up here. opera links panel
I'm sure there are plenty of others