I'm currently doing a SANS OnDemand course. Although the content has been very informative and practical, SANS doesn't provide students a way to retain any of the course videos for future reference. MP3 recordings, slides and physical course materials are all that's provided.
It's possible to go through the whole course and download each individual video but that's way too impractical. Instead, I wrote a script to do it for me. The instructions to use it are in the repo README so i'll avoid repeating myself here.