VideoDownloader is a slick Firefox extension that allows you to save content from websites, including embedded videos at sites like YouTube. The extension adds a small icon to Firefox's status bar that, when clicked, offers a pop-up window with a download link of the actual file you want. Simple and painless. The one catch I've run into so far: the files from some Flash-embedded sites like YouTube are .FLV, and while I have the latest Flash player installed, I can't seem to find it, and not even Safari will open these with a File > Open command. Other than that, this extension has worked great for grabbing all sorts of media so far.
The list of sites this extension works with is lengthy, but really it should allow you to grab embedded content from just about anywhere. Unless, of course, the site has already been turned on to haxies like this and they've already launched countermeasures. Until then, enjoy.