There is no single download that bundles all of the middleware components, you have to download each one separately. Also, what you end up downloading depends on the compatibility of the components. For example, if you need JBoss Portal, you will want to stick with JBoss AS 4.0.5.
Let's discuss JBoss AS a little bit. It would help if you gave a little more information on what technologies you plan to use. If you want EJB3, use 4.2. If you don't need EJB3, you might want to stick with 4.0.5. I should point out that there is no documentation available for 4.2, in which case 4.0.5 might be the best to start with. (JBoss AS contains the Hibernate runtime, but if you want to do development work you still should download Hibernate. JBoss AS does not contain jBPM.)
For the other middleware components, use the latest release identified as "GA" or "stable".
Also, the primary download page for all components is at http://labs.jboss.com/projects/download.