I'll try to make this simple and straightforward -
First, most embedded video files which cannot be downloaded are Flash movies, with extension .flv.
Youtube, Googlevideo, and others all use mostly Flash movies. You cannot right click and download those movies like most others, what you do is this -
1) With the page open, navigate to Safari menu --} Window --} Activity
2) If you did this correctly, a small activity window will appear. ( see pic)
3) Now, how do you find the movie file in the Activity window and download The smart thing to do, which I do, is observe the entry where it shows a download in progress,which steadily goes up, and that is the video.
See the attached pic where it shows 1.2 MB OF 8.5, when a youtube video is playing.
Another way is just to look at right side for the largest file, that will be the video.
4) Once you have found it, double click it. It will download as a .flv file. To play it, you need VLC PLayer, or Perian installed to allow Quicktime to play .flv files.
If you have any questions let me know, but I think these instructions are pretty clear --