EnsEMBL Export says:

We respectfully request that you do not script against the export pages on the Ensembl website, as this degrades the service for other web visitors. The public MySQL server is provided specifically for this purpose. Thank you. If you wish to extract multiple features or regions, we recommend using the Perl API if possible.

I looked around a bit on their site and these folks provide lots of Perl software. Looks like you can get what you want if you "play by their rules" for huge downloads.

Update:
I've never used this particular site before, but I've used other large sites. When you are going to be retrieving a lot of data, it really pays to read the details - special tools are usually available - and you do risk getting on the "bad-boy" list if you don't play by the rules. One of the slickest sites that I use has a gizmo where I can launch a custom DB query...I give them an e-mail address and they send me an e-mail with a URL that is valid for a few days when my data is ready for download. It might take an hour+ for my query to process, but I can get a lot of customized data this way and it doesn't impact the website performance. Just an implementation thought and observation from something that I've seen work well as a user.