there are many different apps, or websites, or browser addons that can do the job, they maybe free (most websites, or firefox's addons) or may not be (quicktime pro for example).
They probably dont work on every video streaming service out there.
The one I found useful is, surprisingly, the new realplayer 11, whose stream video download plugin for browsers are extremely nice and works on many difference video streaming services. Im not sure if it works on mac tho.