TheLastRipper is a cross-platform (works on Windows, Linux and Mac OSX) application which can save Last.fm streams to mp3 and also download the album cover, append ID3v2 tags, organize the music by Artist/Album/Track and also generate playlists from the data available for your Last.fm account.

Unfortunately, this works for free only to users who live in US, UK, and Germany, so if you live in another country, you'll be needing an Last.fm subscription for this to work.

TheLastRipper features:

• Recording Last.fm streams to mp3's
• Organize your music in directories: Artist/Album/Track/
• Downloads coverart
• Appends ID3v2 tags
• Generates playlist
• M3U
• SMIL
• PlS
• Support proxy settings

Download TheLastRipper (files available for Windows, Linux: .deb, .rpm, .tar.gz and MacOSX .dmg).

A similar application, but for Windows only: Download Music from Last.fm, Myspace, Pandora and Others, for Free

You might also be interesting in a free YouTube + Last.fm Mash-up called YouScrobble.