You can use a PDF printer, as some of the others have suggested, but if you go that route, you will need to use a web browser that allows you to print linked documents. To do this in Internet Explorer 8, click the Options tab on the print dialog and check the "Print all linked documents" box. Unfortunately, this may or may not work for you, depending on the link depth.
Firefox does not seem to have an equivalent feature built-in, although there might be a plugin available which allows you to print linked documents.
Unless you really need the archived website to be in PDF format, your best option is probably to use HTTrack, as suggested by bryan. HTTrack gives you a lot of options to restrict download size or how deeply you traverse a site, as well as specify whether you want to follow any external links or include non-HTML documents, among other things.