ZenMojo.com

http://www.microsoft.com/office/backup/en-us/default.mspx

Web:
Zamzar lets you convert many different types of files in addition to video files: http://www.zamzar.com/

Keepvid also lets you save Streaming Videos: http://keepvid.com

Apps:
If you want to save that great Google Video or YouTube video, you need this tool: VDownloader
If you want to save a streaming Microsoft video (like an ASX playlist), then this is the tool you need: SDP Multimedia