Hey JC... I read a write up about Replay Media Catcher that does exactly what you're looking for... lets you save media from online to watch on other devices... mp4 player, phone, iPod, etc. Only drawback is that it isn't freeware. You'll have to shell out $40 for it... (or uhm... look for another way to get it?) Regardless.... it is a lot cheaper than cable every month!
An iPod or iPhone would require Videora iPod Converter to be used also. Luckily that program is freeware!