AndrewC: As long as you download the whole folder (as in, select the directory and download that, not just individual files) you'll have the local timestamp (I'm assuming here that you're talking about the "Created" timestamp).
I would like to have the exact copy of my FTP. I've already tried to download whole directories but what I got was: all files inside downloaded directory was set to the date/time the same as on my FTP (as I needed) but folder had present date/time instead of the one on remote FTP.
Example: I have directory named "data" with some files - all from 2005. When I download it all files had set 2005 year, but my "data" folder on local drive was dated 2012... I could set it manually, but I have a lot of directories on my FTP so I'd prefer to find some auto-way :D