If you use the Firefox browser (available
here) you can use a plug-in called DownloadHelper with it (available
here). DownloadHelper, as you'd expect, helps you download various kinds of files from websites you visit - including the .flv files that you get on YouTube.
Once you've got the .flv files you can convert them to whatever format you want. I'm on a Mac so I use
iSquint, which is basic but free (I'm sure there are plenty of PC equivalents), or
QuickTime Pro (not free) with the
Perian plug-in.
(There's a couple of articles by Stephen Fry (yes, that Stephen Fry) on the subject of Firefox and the various things you can do with it:
here and
here. Amongst the best things about it are the adblock extensions - enjoy the web without all the annoying ads plastered all over it.)
Naturally, nothing in this post should be taken as condoning or encouraging anything that might breach copyright. But then I'm sure you knew that...