I've always looked at the source code, and from there figured out the location of the FLV file, but even this is difficult if the site embeds the video with references and not URL's.
Then I found URLSnooper 2 ( http://www.donationcoder.com/Software/Mouser/urlsnooper/index.html ). This little utility installs the WinPcap libraries (also used by Ethereal - http://www.ethereal.com/) to literally sniff the packets passing through the Ethernet interface, and find all HTTP POST and GET requests.
It the summarizes that in the application, from where you can copy paste the once you want into your download manager.
Yes, that simple. Start the sniffer, surf the site you want, stop the sniffer and copy the links.