Saving any QuickTime movie is a breeze if you have QuickTime Pro. I downloaded this Fantastic Four trailer (in HD), let it finish loading, and then selected File > Save As... and I was done. What if you don't want to shell out the dough for a QT Pro license? Well, Krunk4Ever (who isn't a fan of QT) has a tip that'll let you download the trailers from Apple just by delving into the HTML of the trailer webpage and using a little command line trickery to download the file.
Pretty cool, I suppose, but it is much easier to just visit the iTunes Store Movie Trailer section and download the videos that way. iTunes will happily download any trailer that is available and scot free at that, no DRM in sight. Oddly, though, it does place the trailers in the 'Podcast' section of your iTunes library.
Each of these three options will get the job done though one isn't free, one isn't easy, and one is both free and easy. Choose wisely.