Two places to check out are Keepvid and Vixy.net. Keepvid will only save the files as *.flv while Vixy.net will allow you convert the files first and then save, but at a cost of taking more time. Both will not work on certain new flash embedding schemes but will work on YouTube, for the most part.
You can also use a program such as YouTube Downloader will download the .flv files from YouTube and can convert them as well to file formats such as Windows Media (.wmv) and Quicktime (.mov). Recently RealPlayer (the free version) also allows you to download the video files embedded in the .flv files, which saves you from having to convert them seperately. RealPlayer also appears to be less of a nag then in previous years.
Partial Source: http://revision3.com/tekzilla/