If you're looking to download videos from a streaming site like YouTube, you can go to [link|http://www.keepvid.com|http://www.keepvid.com] and enter the URL and select the video site from the drop down list. A download link should appear on the page after a few moments. They offer a bookmarklet as well to make the task even easier.

Similarly [link|http://www.getdemocracy.com/|Democracy Player] hooks into a few popular streaming video sites and allows you to download videos to disk. (Works on OS X, Windows and x86 Linux)


Alternatively you could use [link|http://www.squared5.com/|MPEG Streamclip] (works on OS X and Windows). In addition to opening and transcoding local video files, you can also enter the URL for a video stream and save it to disk. (NOTE: I haven't tested the URL download capability. This info is from the release notes.)


Hope this helps.