If you have command line access to the server, log on and bundle them into one file with zip, gzip, bzip or tar (whichever is available, and can be reversed on the destination -- you didn't say what OSs are involved). This reduces the number of files _and _ the total number of bytes to be transferred.
If you only have FTP access to the server: some servers are configured to deliver a zip/gzip archive (which they build on the fly) if you just ask for it. E.g., if your files are in
ftp://example.com/some/folder/, try fetching
ftp://example.com/some/folder.zip. It might not work, but it's worth a try.