Unlike other photo sharing sites, Picasa Web Albums offers a way to download an entire album, but that requires Picasa 2.5 or later. If you don't want to install the application or you use Mac or Linux, there are other ways to download a photo album.
For Firefox, you can combine a Greasemonkey script (that obviously requires Greasemonkey) with DownThemAll, probably the best download manager add-on. After installing the two add-ons, restarting the browser and adding the script, go to the album you want to download, click on the "Init Download Links" button from the top of the page, select DownThemAll/DownThemAll in the contextual menu and type "imgdl=1" in the Additional filters box.