Is there any reason for downloads to be broken up into multiple parts? Even the GOG downloader links? That's so 1996...

I mean the latest GoT episode/patch is 6 separate files, but why?

Filesystems that do not support files larger than 4GB. And browsers that may encounter issues with larger files. And ease of archiving.
The GOG Downloader should only need one link to add all files, but it will download multiple files as well.

Forgot about that. Thanks for answering my pointless rant ;)

FAT32
DVD-s in case people want to do a backup.

They do it maliciously to force you to click a couple of extra.times!

I would like to just click one button to download it all

You could install and use GOG's Galaxy launcher to do exactly that.

Install Galaxy.
Choose a game from your library.
Click on the Extras next to the install button.
Download the game.
In the downloads section of Galaxy, there is a folder to the far right. Click that and it will open the download location (Which will be Galaxy's default install folder\[Game Name]\!Downloads) In my case it is E:\Games\[Game Name]\!Downloads\
You can change the default install path on Galaxy by installing a game to your computer, or by going into the settins menu. (Gear at the top left, Settings, Installing/Updating)