I would like to download documentation of the Drupal hooks, and whatever else would be useful. I've been saving a few pages piecemeal to my hard drive, but it would take too long to download the entire api.drupal.org this way. Is there someplace where I can get it all at once?
Drupal's documentation is all directly from the source code. You can use the API module to use the in-code documentation to generate your own local version of api.drupal.org.
Also, if you have api.module installed on a local copy of Drupal, you can see browse and search the documentation embedded in contrib modules like Views, Organic Groups, and so on.
If you use windows, try this link http://drupal.kollm.org/chm-drupal-6 This good fella has created a very handy CHM file
The link from prasado is not longer available. This one works: http://chm.kollm.org/drupal-6.chm
Yes that is great for API documentation, but for the various other guides on the drupal.org handbooks page it is a little more painful.
Found this page http://drupal.org/node/472396 which explains how logging into the site reveals the printer friendly version links