I use
World off-line for this. It's not free but it's extremely cheap for something that works so well. For each site you can set it to download as many levels as you like, you can choose whether to download images and/or non-html files, and you can choose whether to follow off-site links to pages and images.
I used to use AvantGo but I now get all my off-line content using WOL. [I have nothing to do with the company other than being a very happy customer.]