I recently wanted to download a couple of YouTube videos so I could show them on my Dell Axim. I did a quick search on Google and found this:
Vdownloader is a little freeware program that scans your clipboard for links to youtube, google video, grinvi and dailymotion. Once it detects such a link the movie will be automatically downloaded and converted to the format that you specified in the settings. You may save the video as avi, mpg or psp and change the output size and audio bitrate in the process.
It works great. There is nothing to install. You just download the zip file, extract the program, and run it. Check it out!