Geocaching Swiss Army Knife
GSAK is the all in one Geocaching and waypoint management tool. Major features include: Multiple databases, sending/receiving waypoints to GPSr, conversion to many mapping formats, HTML output, extensive searching, macro support, backup and restore, distance/direction from other waypoints (including caches, locations, post codes) and much more.
GPX files are available from two main sources. The first is through Pocket Queries on Geocaching.com. This is a Premium member service on that website. A Pocket Query is only going to provide geocaches that are initially listed on that site. It will give you a large part, but not necessarily the whole picture of geocaching in your area.
The second method for obtaining GPX files is from Geocaching Australia. This will give you state-by-state GPX files for caches listed on Geoaching Australia. These can be found on the menu system by selecting "Find > Available Caches", and then choosing a state. Presently, there is a small link on the bottom right of the page with the GPX file.