I am using http://www.kloth.net/services/nslookup.php to lookup dns records but they can only be looked up one at a time, eg MX OR CNAME etc. If I want to get a list of all them for a particular domain is that possible, using this?
You can select ANY from the drop down list on the tool you mentioned. This is an interface to Dig or some similar application. Dig is generally installed on Linux with a DNS server, but you may be able to install it separately.
Selecting ANY returns all entries for a particular domain. If forces the query to get an authoritative answer rather than an answer from your local DNS configured in your network settings.
If you want to use your own application, you still can only query one domain name at a time. That is because of how DNS queries work. There may be a tool that will let you provide a list, but it is still one query at a time on the back-end. You can use:
dig domain.tld ANY
where domain = domain name and tld = .com, .net, .org, and so on.
There are other tools, but dig is the best.