Hulu uses secure RTMPE streams. Software developed in the U.S.A. and many other countries can't download RTMPE streams, because otherwise it would violate DMCA.

You can download Hulu videos with freeware command line utility rtmpdump in Linux, Windows and Mac OS. You can also use rtmpsuck that comes with it to download Hulu videos in Linux and Mac OS. And you can use get-flash-videos, another command line utility that uses rtmpdump.

Hulu videos can also be downloaded with freeware StreamTransport (Windows) or with shareware GetFLV.

Note that RTMPE stream downloaders stop working with Hulu from time to time, but you can always use screen video capture software to record Hulu videos from screen.

See also:
RTMPE stream recording/downloading/capturing/ripping/saving
Downloading Hulu Videos (Using rtmpdump) For Idiots.....
GetFLV can download Hulu.com videos now
Problem downloading Hulu videos with Replay Media Catcher (RTMPE .flv)
the Best Screen Capture Program (record ANY video from your screen)
How to access BBC iPlayer, Hulu, Fancast, Pandora, any other region-restricted sites