Made a script to do this.
Install the prerequisites: apt-get install wget calibre tidy, or whatever works on your favorite OS.
Then do
#!/bin/bash
TMPDIR=$(mktemp -d)
pushd $TMPDIR
wget -H -np -nd -k -p -r -l 1 http://pwnee.com/Sequences/list.html
tidy -m *.html
ebook-convert list.html lesswrong.epub
popd
cp $TMPDIR/lesswrong.epub .
I've been wanting a printable copy of the sequences to read through in meatspace. I wrote a quick scraper and uploaded the results here http://pwnee.com/Sequences/list.html
Inter-linking doesn't work, but I just wanted a printable version anyway.