Yep, besides the limit of 5 counties, each file has a generic 55 MB autofile zipped up in it that is unneeded, and about 5 MB of actual shapefile data.
A better way is to download a FTP client or use the URL below in a web browser to access the FTP (be sure to look for date modified before downloading; updated files are at the bottom):
ftp2.census.gov/geo/pvs/Each folder is the first two digits of the FIPS code (for example, "13" = GA). This should make downloading large numbers of files much easier - and without having to juggle 55 MB of junk data for every file downloaded.