I've encountered similar problems, and usually ignored it until now when I tried to figure it out.
I just tried downloading an HD youtube video in 720p. The regular flash video is easily done via activity monitor and downloads as "videoplayback" which I need to add ".flv" to in order to play it. Unfortunately when switching to HD, a different file is used, which seems to be the original .mp4 file.
Double-clicking in Activity Monitor opens a new window with the video loaded directly, and there is no save option in the task bar. Fortunately Safari does have the ability to "download linked file" when right clicking a link that would otherwise lead to the same type of page, so as mentioned earlier in the thread, I just made a local HTML file with nothing but the link in it. Simply right-click, "download linked file", and you're done.
If you don't know HTML, it's simple. Open Text-edit, paste the following, then save it with a .html extension. Double-click the file which should open in the browser, and right click the link, which I aptly named "link", and select "download linked file".
Code:
<html>
<a href="http://www.paste-link-to-file-here-between-these-quotes"> link </a>
</html>
