There are a few different ways depending on what you want to do.
If you want all the URLs on a page to add to GrabMyBooks and you use Firefox, the extension
Linky allows you to copy them to the clipboard.
You can use something like
HTTrack to download a site. Or starting from a URL all linked pages. That gives you HTML pages and the images that could be added to calibre and converted to epub. wget is another example of this.
There are also more specialised solutions. For example, if you read fan fiction, then something like
FanFictionDownloader or the calibre plugin is what you want. For Wiki type pages, there are some calibre plugins that do it very nicely.
Calibre also has a large number of recipes for downloading news pages and conversion to epub or other formats.