QuickTime - It's possible to tell the QT server to send the stream over HTTP, so that you can download it with a regular download manager. I don't know how to do it though.
RealPlayer - I don't know how to download these on OS X but on Windows you can use FlyingRaichu StreamBox VCR.
WiMP - MS' streaming protocol is incapable of sending a 100% accurate stream. If you have a fast connection, you can use wget to download a stream, but it might have "blips" or dropped frames.