If you use Firefox, there's an addon called DownloadHelper which allows you to download any embedded video or song on any website.
You simply install the addon, then browse to a site and begin watching the video, then the icon will activate on the toolbar and you right click it and select "download".
The video will be downloaded (usually as a .flv file, "flash video") and you can watch it with any media player that has the .flv codec, like VLC media player. You can also convert the .flv to any other type of video file using free video converters found all over the net.
Just remember that when you download the embedded video, it's going to download at the same quality you see, so try to find good quality music videos to download.
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