Actually, you do use slightly less data when you stream something. Streaming isn't quite the same as downloading.
With streaming, all of the contents of the file are fired towards your PC in order and your PC will play the contents as received, buffering anything that it doesn't need just yet.
If any packets don't make it to your PC and you have passed that point in the stream, they are not requested again. They are just written off.
This is why sometimes your picture quality dips when you stream something - the video player is compensating for lost data but keeps the picture going. It's more important to keep going and not ruin the flow than it is to get the lost data (pausing the stream in the process).
Also - if you skip over any of the film, you don't download the parts that you didn't watch (unless they got buffered).
With downloading, the file gets sent to you in any old order. You might receive the back end of it first. Any lost packets are re-requested and eventually you end up with the full file.
The key thing with streaming is that the server you are requesting from has to understand the order in which to send things. A web server does not typically know how to do this for an arbitrary file format. The file format may not make this easy. This is why specific file formats such as flv are used.
So - unfortunately you can't just stream anything you want.
EDIT: Please note - sometimes your browser may trick you into thinking that you are streaming something when it is just downloading it and playing back. This can work fine for small files over a fast connection. It's not always easy to tell what is actually happening.
