Capturar todos os cnaes do site do governo.

Program.cs

using System;
using System.Collections.Generic;
using System.IO;
using System.Linq;
using System.Net;
using System.Text.RegularExpressions;
using System.Threading.Tasks;
using HtmlAgilityPack;

namespace ConsoleApplication7
{
    class Program
    {
        private static StreamWriter stream;

        static void Main(string[] args)
        {
            var htmlDocument = RequestPage("http://www.cnae.ibge.gov.br/estrutura.asp?TabelaBusca=CNAE_201@CNAE%202.1%20-%20Subclasses@0@cnaefiscal@0");
            var linksDasSessoes = ProcuraA(htmlDocument.DocumentNode);

            File.Delete("C:/cnaes.txt");
            stream = new StreamWriter("C:/cnaes.txt", true);

            Parallel.ForEach(linksDasSessoes.Select(x => x.GetAttributeValue("href", "")).Distinct(),
                             s =>
                             {
                                 var document = RequestPage("http://www.cnae.ibge.gov.br/" + s);

                                 BuscaLinksGrupos(ProcuraA(document.DocumentNode));
                             });
        }

        private static HtmlDocument RequestPage(string url)
        {
            HtmlDocument htmlDocument;
            using (var webClient = new WebClient())
            {
                htmlDocument = new HtmlDocument();
                try
                {
                    htmlDocument.Load(webClient.OpenRead(url));
                }
                catch (Exception)
                {
                    return new HtmlDocument();
                }
            }
            return htmlDocument;
        }

        private static void BuscaLinksSubClasses(IEnumerable<HtmlNode> linksDasClasses)
        {
            Parallel.ForEach(
                linksDasClasses.Where(x => x.InnerText.Length == 6).Select(x => x.GetAttributeValue("href", "")).Distinct(),
                s =>
                {
                    var document = RequestPage("http://www.cnae.ibge.gov.br/" + s);

                    foreach (var linksDasSubclass in ProcuraA(document.DocumentNode).Where(x => x.InnerText.Length == 9))
                    {
                        var parteLink = linksDasSubclass.GetAttributeValue("href", "");
                        var subDocument = RequestPage("http://www.cnae.ibge.gov.br/" + parteLink);

                        var htmlNode = ProcuraB(subDocument.DocumentNode).Last();
                        var htmlDecode = (htmlNode.InnerText);
                        
                        lock(stream)
                        {
                            stream.WriteLine("{0};{1}", linksDasSubclass.InnerHtml, htmlDecode);
                            stream.Flush();
                        }
                        Console.WriteLine("Salvo: {0}", linksDasSubclass.InnerHtml);
                    }
                });
        }

        private static void BuscaLinksClasses(IEnumerable<HtmlNode> linksDosGrupos)
        {
            Parallel.ForEach(
                linksDosGrupos.Where(x => x.InnerText.Length == 3).Select(x => x.GetAttributeValue("href", "")).Distinct(),
                s =>
                {
                    var document = RequestPage("http://www.cnae.ibge.gov.br/" + s);

                    BuscaLinksSubClasses(ProcuraA(document.DocumentNode));
                });
        }

        private static void BuscaLinksGrupos(IEnumerable<HtmlNode> linksDasDivisoes)
        {
            Parallel.ForEach(
                linksDasDivisoes.Where(x => x.InnerText.Length == 2).Select(x => x.GetAttributeValue("href", "")).Distinct(),
                s =>
                {
                    var document = RequestPage("http://www.cnae.ibge.gov.br/" + s);

                    BuscaLinksClasses(ProcuraA(document.DocumentNode));
                });
        }

        private static IEnumerable<HtmlNode> ProcuraA(HtmlNode documentNode)
        {
            return documentNode.SelectNodes("//a").Where(x => Regex.IsMatch(x.InnerText, @"^([\d-/. ]+)$"));
        }

        private static IEnumerable<HtmlNode> ProcuraB(HtmlNode documentNode)
        {
            return documentNode.SelectNodes("//b");
        }
    }
}