Tubegrip is a fantastic site for downloading online videos from more than 20 sites including YouTube, ZippyVideo and so on. You just need to copy the video link like "http://www.youtube.com/watch?v=Z51Gk49uWpE" to the site, and it will automatically obtain the actual http:// link to that video, which can be downloaded using any software, or just http connections.
Note that the online videos are normally *.flv files, so you might probably need to convert it to other formats. TubrGrip also offers a free software to integrate download and convertio. It is just a great once-for-all solution. Enjoy!