Here's a bookmarklet that uses javascript to generate an M3U file from a page of linked MP3s without passing the page through a remote server: m3ugen
It only matches links ending in .mp3 at the moment, but should be easy to alter if you have links in a different format (ending in .php, for example).
If you use IE or Safari, or need to pick up more media types, try one of the bookmarklets on Playr's front page.