You probably can't get them all, because some of the older versions have been withdrawn. Go to the usual download sites and download them all. You will have to change the PATH for each terminal/shell/command line you use, so as to gain access to different JVMs.
You can have as many JVMs installed as you like; I myself have a 1.4.2 JVM that was part of the 1.4.2 JDK and a 1.6.0 JVM that was part of the 1.6.0 JDK.
What you do have to remember is, that only one (I think it's the last installed one) JVM will be used by default. If you want to use another, you cannot just use "java" and "javaw" but have to include the full path.