I found the following method to work for various web sites and is pretty similar to those mentioned above. This is using Safari Version 7.0.1 (9537.73.11).
1. Safari->Preferences->Advanced, ensure Show Develop menu in menu bar is checked.
2. Open the web page that contains the movie you want to save locally and start it playing.
3. Develop->Show Page Resources
4. Click on the page showing the movie and refresh it, you should see the Web Inspector window in the background also refresh.
5. Click on the Web Inspector window. There will now be an “Other” folder.
6. Open the “Other” folder and there will be one or more URLs that include the movie field extension somewhere within. e.g. “.mp4”,”.flv” etc..
7. Click in the link you think represents the movie.
8. The right panel of the web inspector will show the “Full URL”.
9. Select it from “http” to the end and copy.
10. Open a new browser window and pass into the URL. The movie should start playing there.
11. You should be able to right click on this movie and select “Download As…”
12. Once it starts to download (you can see progress in the download button), you can close the other windows.
You would need to check the TOS of the web site you are saving the downloaded movie from to ensure that you are not in someway violating the agreement you made to use the site.