M3U files are simple text files used to "stream" MP3 files. You can find them at many excellent sites like CD Baby and Magnatune. Sometimes, you might want to keep the real MP3 file, instead of just streaming it. This program (m3u2mp3) does just that!
On Mac OS X, the app should just run as is. You can can drop one or more M3U files on it, and it will fetch all the MP3s referenced in the M3U. If you use Finder's Get Info to associate an M3U file (or all M3U files!) with this app, you can just double-click on the M3U file(s) to launch them with m3u2mp3 and download the MP3s.