Most data seems to be browsable through the web interface.
Update 2009-04-21: Wrote to contact addresses for the various databases asking about bulk download facilities.
Includes link to the Copyright notice on the European Commission website states:
Reproduction is authorised, provided the source is acknowledged, save where otherwise stated.
Where prior permission must be obtained for the reproduction or use of textual and multimedia information (sound, images, software, etc.), such permission shall cancel the above-mentioned general permission and shall clearly indicate any restrictions on use.