Web site vConvert.net grabs videos from YouTube and converts them to compatible formats for your iPod/iPhone, mobile phone, PSP, and more. What's more, if you only want the audio from a video, vConvert can convert just the audio to an MP3.
Lifehacker has posted some cool desktop apps that promise the same conversions (and one other web site), but if you don't want to install an application to handle this simple transcode, vConvert is a very good and simple alternative. Just give it a YouTube URL, select what you want to convert it for, then click Convert and Download. After a minute or two of processing, you should see a download link for the video.