For those who haven't been through any of Coursera's free online courses, I cannot recommend them highly enough. For a while now, I've been wanting to download all of a classes videos to disk. Doing this manually is a huge pain, however. Rather, I wrote a PowerShell v3 script to automate this process. With the introduction of the Invoke-WebRequest cmdlet, PowerShell v3 is perfectly suited for this task.
Please note that you may be violating the Coursera terms of service as of (effective as of 10 April, 2012) by using this script. Otherwise, enjoy and happy learning!