Recursively saving web pages

Is it possible to recursively save all pages on the web which depend on a particular page? Or do I always need to save them one by one?

When I've needed this I've found HTTrack to be effective, easy to use, and fairly comprehensive on the options.

HTTrack is a free (GPL, libre/free software) and easy-to-use offline browser utility.

It allows you to download a World Wide Web site from the Internet to a local directory, building recursively all directories, getting HTML, images, and other files from the server to your computer. HTTrack arranges the original site's relative link-structure. Simply open a page of the "mirrored" website in your browser, and you can browse the site from link to link, as if you were viewing it online. HTTrack can also update an existing mirrored site, and resume interrupted downloads. HTTrack is fully configurable, and has an integrated help system.

WinHTTrack is the Windows 2000/XP/Vista/Seven release of HTTrack, and WebHTTrack the Linux/Unix/BSD release.

wget -m http://www.example.com/

More information can be find with man wget:

-m --mirror Turn on options suitable for mirroring.
            This option turns on recursion and time-stamping,
            sets infinite recursion depth and keeps FTP directory listings.
            It is currently equivalent to -r -N -l inf --no-remove-listing. 

It is possible by using software that can crawl the page. I like using Free Download Manager's HTML spider that can download a page and you can specify how many levels of depth you want it to go.