Common question and often linked to the question How do you save You Tube Videos to your computer.
There is a cracking peice of software or website out there that does this called Keepvid. So just search for Keepvid and your away.
The killer app as it's often called is the ability to drag a link to your links toolbar and then when your watching a youtube vid click it and you'll be taken to keepvid with links to download the video in a variety of formats.
I can't link to them as I'm not sure if it's legal so you'll have to find it yourself.