That's right. Depending on which browser you are using, you can also create blobs (see here).
Here we use WADE as an image processing tool, among other things. You know how you sometimes have to do the same operation on lots of different sprites - for me the easiest way is to just write a small WADE app that does whatever operation I need to do with my sprites (resizing, adjusting colors, rotating, cropping), and then I save them all together in a zip file (using JSZip). Then, from my app, I initiate the download of the zip file (there is an example in the JSZip documentation).
This is possibly the easiest way to download a bunch of files that you have generated in JavaScript.
Incidentally, this way of doing image processing is much faster than doing the same thing with Photoshop, and you have a lot more control. I'm thinking of writing an image processing plug-in for WADE at some point to do this sort of things.