The algorithm we use works best if everybody downloads one work unit at a time, and checks back after each unit is completed. Therefore no option to download multiple units is available.
However, it is possible to work on multiple WUs at once; our latest client may do this by assigning each WU to different processing components in your computer. Folding@home differs from many other projects in that it is important for WUs to be completed in a timely manner. It is far better to get a single WU done at full speed than to complete two WUs at half speed.