Presuming it isn't something like YouTube, raw streaming video rippers on the Mac are pretty much non-existent. If it is a Windows Media stream utilizing the MMS protocol, you can save most of those if you have Flip4Mac installed. You just need to make sure create streaming movies is unchecked in its system preferences pane (located under the Movie tab). The stream will be cached and act like a progressive HTTP download. Once it is completely loaded, it can be saved in a self-contained MOV.
If it is a RTSP/RTP stream (like Real Media or QuickTime), I've found no reliable way on the Mac aside from using a screen capture utility so I just use Net Transport on Windows (it can download almost any streaming video without problems). VLC has a stream saving wizard under Open Network but I've never got it to work (I always get an invalid module error).