The Firefox add-on Greasemonkey (
https://addons.mozilla.org/en-US/firefox/addon/748 ) can handle scripts for downloading stuff from specific sites. For example, I use the "Apple Trailer Download" script (
http://userscripts.org/scripts/show/2484 ). It creates a handy download menu when browsing specific pages on
http://www.apple.com/trailers . It lets you download the HD trailers too.

Two more general tools for sorting through your web traffic and finding URLs to source video files:
http://www.ieinspector.com/httpanalyzer/ (for IE) and
http://www.getfirebug.com/ (for FF).
In general, online video files are usually "two or three files away". That is, if you right click the video link on the homepage and save it, you only get a textfile. That file contains another URL (or a script that makes one). That second URL leads to the video source file (alternatively to another textfile which in turn has the video file direct URL).
Also, some time ago I hacked together a weird webapp of sorts that uses some
http://yubnub.org/ commands to speed up the manual process of saving files from Apple Trailers without installing any apps or scripts. The same tools can be used to save almost any online video. Check it out here (the instructions in the first subwindow are very brief but should be possible to understand I think):
[edit: removed URL since no longer working /nod5]