I found that it's also possible to download them should you want to keep some around as a reference or have limited connectivity. All of the shows are defined in this JS file. You can pick the videoName property of the show you like and paste it as the argument with the same name to this URI (example). The resulting page will have the link to the fullres (640x480), downloadable QuickTime file as the src attribute of the embed tag. Just copy/paste that into Safari's download window.