Streaming (aka, embedded) video has been around since the beginning of the internet, and while it can certainly be a very useful technology, I hate companies and websites that require you to stream the video and don't even offer an option to download it. What if you want to view it multiple times? What if you want to show a friend or co-worker? Tough! You have to stream it (re-download it) every single time you watch it. The only possibly reason for doing this that I can think of is that it supposedly allows the hosting site more control over the video, but it creates a severe inconvenience for users, prevents a number of possible customers from watching it in the first place (eg, if they're not running a "blessed" operating system, browser, or plugin), and exponentially increases bandwidth costs for the hosting provider. Additionally, the very fact that the movie has to be sent to the client to allow it to be played and displayed means that the client still gets a copy and can still save it anyway, just with much greater hassle.
If you want to save a streaming video from a site that doesn't offer a proper download link, you have a few options. Like most things in technology these range from easy but limited to difficult but extremely flexible. For now, I'm going to discuss the easy approach. :-) I'm also going to assume you're using Mozilla Firefox (if you're not, you really should be).
There are a number of Firefox extensions available that can greatly assist with saving embedded/streaming video clips. A simple search for "download video" on the Firefox Add-ons returns 19 extensions. I've personally used VideoDownloader in the past, and it worked well.
If you don't want to install a new extension just for downloading videos, and option is to use Greasemonkey scripts. Greasemonkey is a really powerful extensions that allows users to create or install custom scripts that can change the behavior of any web page. In this case, a Greasemonkey script can analyze the page for embedded video clips, then automatically add a download link to that video; simply click the download link to save the video. Two great scripts for downloading embedded videos are Apple Trailer Download and Download Video (though I use this version of Download Video). Note that you must first install Greasemonkey before you can install these scripts. You can find a lot more useful Greasemonkey scripts on my Mozilla Firefox Tips and Tricks page, as well as a massive collection of contributed scripts on Userscripts.org.
The primary limitation with the extension/script method is that it's often limited to particular sites. Apple Trailer Download, for example, is limited to just movie trailers hosted on the Apple Movie Trailers website. Download Video and VideoDownloader both support a number of different sites (including the most popular, YouTube and Google Video), but are still limited to only sites they "know" about. I'll follow up this article with more advanced techniques and suggestions that should help you save just about any embedded video.