My free version of RealPlayer lets me download embeded videos from just about anywhere, YouTube included.
ETA: It does, IIRC, save them in a proprietary format, so the playing computer needs realplayer or VLC. (I use VLC, and um.......have a friend........ well not even a friend, someone I know who flouts computer regs. He says you can put VLC on DOD computers without admin permisions.)