Freeware
ComedyCentral Grabber is a freeware program that can record flash videos from Comedy Central.
I've tried version 4.07and was able to download RTMP flash videos from comedians.comedycentral.com, but it doesn't support colbertnation.com, thedailyshow.com,...
The paid version of the program called
save2pc Pro + Extra Pack supports more web-sites.