Is there any freeware software (including command line utilities) to downloaded entire website recursively (aby kind of links, not only HTML files)?
Sitesucker isn't freeware, but it's exactly what you're looking for. I use it all the time. It costs $4.99 through the App Store.
"SiteSucker is a Macintosh application that automatically downloads Web sites from the Internet. It does this by asynchronously copying the site's Web pages, images, backgrounds, movies, and other files to your local hard drive, duplicating the site's directory structure. Just enter a URL (Uniform Resource Locator), press return, and SiteSucker can download an entire Web site."
Best of luck.