It really depends on the type of website and which technology they use. On a lot of sites they don't like you to simply download the stuff. On sites using Flash, you can try to use Firefox and and addon called "Flash Video Downloader". There are many tools like this for Firefox, you can get them through the "addons" menu item in the "Tools" menu. You can go to Youtube or GH's streaming video section to testdrive the addon, it should display an additional icon in the low right corner of the window.
Some sites use a special flash player instead of directly streaming the videos. For these, ripping is more complicated.
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