Though Safari lacks an exact duplicate for this feature, if you open the Activity Window in Safari, you can just double click any part of it and it will open in a Safari window. You can then do a 'Save As' and you get the flash movie (or whatever) saved locally.
You may have known this already, but it's new to me and sure beats 'View Source' and copying information.
[robg adds: If you haven't used the Activity window in Safari, you're missing out on one of its nicer features, in my opinion. You can easily see the various bits that are used to create each page, and as noted here, open any one of them easily with a double-click. I use this window all the time to load CSS and JavaScript source files.]

