The good ‘ole Save Page As drops the ball when trying to grab well-formed, standards based websites where most, if not all, of the images are specified in CSS. I spent an hour or so yesterday scouring the web for some tool that would download these CSS images. I found nothing.
I went back to the tried and true Web Developer toolbar extension for FireFox and found the View Image Information option (under the Images button).
It interrogates the CSS file creates a very nice list of all inline and CSS images. You still have to right click and save them individually, but it definitely helps.