I'm going to offer another one, although we may debate the practicality of it. I've used a feature that I found buried in my copy of Adobe Acrobat (not the reader, but the generator). It's called "Create PDF from Web Page". My copy of Acrobat is Version 9, from 2008, so it's quite old. Since I don't have a newer version I don't know if this feature is still present in newer versions.
I do know that it works, and most importantly it captures links and linked pages fairly well. But since Acrobat is quite expensive, unless you already have a copy for some other reason it's not going to be cost effective to buy one just for this purpose.
Here are several screen captures from using the feature:
Check out the attached captured PDF of the Lionel 2000 Volume 2 "web catalog". When you open it you'll see that you can navigate using the table of contents by clicking on the entries.