I use a combination of Soundflower, a free audio-routing app, and Sound Studio 3, a full-featured audio program that I got as part of a MacUpdate or MacHeist promo a year or so ago.
It came in handy the other night; I had purchased a used CD, and my iMac couldn't get past a scratch across the last track. I found a site that was streaming the track, routed Safari's output into Soundflower, routed out to Sound Studio and recorded it there.
I'm surprised more people don't do this, frankly. It's a relatively easy way to get a free song or two without the dangers of P2P/torrents, if you're willing to take the time to listen to the whole track as it records. Since I grew up in the heydays of the cassette, this is second nature to me.
Yes, that last sentence dates me. So get off my lawn! 😛