Is it legal to download videos off youtube?

Using downloadhelper off Firefox, is it legal to download youtube videos?
It says here that its not or something:
http://www.chillingeffects.org/weather.c...

So is it legal or not?
Update: I want to make a amv, so I want to download some episodes of Shugo Chara. I want to know if it is legal or not.
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