To confirm I have had *some* success using the developer tools in Safari 6 to do the same thing.
Command + Option + A is the shortcut for 'Show page resources' once you have the Developer tools enabled from Safari Preferences. In there I was able to find .mp4s etc from NineMSN for example.
I just tried to do the same thing with Youtube though and I couldn't find the URL for the video like I did with NineMSN above. 🙁