Hi mirasravi!
I'm not *exactly* sure what you're looking for, but personally I like to use as few commands as possible for something like this. That being said, your curl example seems like the most efficient. I'm not sure about the syntax though. I think it should be something like this:
curl http://www.example.com/content/download_content.php?content_id=[0-150] -o file#1.html
That being said, there are endless ways to do loops in all kinds of scripting...
An exercise that I put to some of my tech support team was to come up with a way to use nested loops to print the words to weebl's badger song in as many different scripting/programming languages as possible :) You can do the same thing with your script here, if you're just looking for a learning tool. Otherwise, I think your curl line is probably the most efficient and straightforward.
I hope this helps!
-G