This is a great product — Audio Hijack.
Allows you to grab audio from nearly any source, as long as it is playing on your computer. I’ve used it to capture some music performances from the Henry Rollins Show website. You can then use other audio editing software like GarageBand to put it in the format you’d prefer. Really cool.
Only for the Mac — so get yourself a Mac.
Speaking of music from the Henry Rollins show, if you like Thom Yorke, of Radiohead, check this out.