Don't need to have websites that allow direct download.
I use Ant Video downloader and Downloadhelper to download videos from the sites I like, like thisav.com and youtube.
The links are as follows:
http://www.ant.com/video-downloader
http://update.downloadhelper.net/
These are plugins for Internet Explorer and Firefox. (I can only vouch for Firefox, because I don't use IE.) There are other for Chrome, but I use Chrome for work, so only FF.
Anyway, the downloads are quite fast, sometimes the videos for thisav downloads faster than it streams. I'll normally use Ant Video for thisav and Downloadhelper for Youtube, because Downloadhelper can choose which quality of the video you want, 240p/320p/HD+++++, but I'm more familiar with Ant, so normally use Ant, unless I want to download HD movie trailers.
By the way, you need to load the video first, then the video downloaders will know that there is a video on the page to download. And check the size of the video you are downloading, if it is in KB, means that you left the page on for too long, just refresh the whole page, and it will download properly again.
Happy wanking!