Score one for SourceForge. Though I have to click through three pages to download a tarball (was that trip really necessary?), one can copy a CVS project wholesale with rsync. Found this out via Subversion's FAQ, which points to cvs2svn, which points to cvsclone, which has the instructions in a comment.

 Applying this tool to sourceforge.net or savannah.gnu.org is
 neither necessary nor recommended: With $1 being the project,
 you can simply
      rsync -av rsync://$1.cvs.sourceforge.net/cvsroot/$1/ $1

So rsync -av rsync://lambdamoo.cvs.sourceforge.net/cvsroot/lambdamoo/ lambdamoo-CVSROOT got me the whole CVS repository; pointing CVSROOT at it in my shell, I can check modules out locally. How fun is that? (Now, to convert it to git).