Diplo Media Downloader is an Umbraco 8 package that allows you to download files from the Umbraco Media Library as a zip archive.
You can download both files and folders. When downloading a folder it can include any nested folders and preserves the correct paths (so in theory you could download the entire media library!).
It adds a new menu item - called Download - to the Actions menu when in the Media section. This triggers a dialogue that prompts you to confirm the download. If the media item selected is a Folder then you can choose whether to include any nested folders within the folder.
Note: This has only been tested with Media stored on disk; it is not tested with blob storage providers and may not work with those.