The inevitable result of course is that quite a number of sites and programs have grown up out there which will let you copy streaming video - most for free. I've tried several over a period of time: the one I've tended to use most is Real Player, which has a nifty little 'Download This Video' toolbar which pops up alongside the clip thumbnail in your browser. Except that I've found it gives a fairly high failure rate in terms of unplayable clips, and it hardly ever works at all with anything on X-Tube.
But the other day I came across VideoGet, which I have on test at the moment. It boasts an impressive list of supported sites, and has a built-in file format converter. It's shareware and limits you to 20 downloads after which you have to pay: I've used it twice, and if I find it succeeds on another 18 where the others have failed, I shall probably shell out the $24.95 and buy a copy.