Choose File -> Open Network and fill in an rtsp:// URL. If you want to save the stream to a file, check Advanced Output, click on Settings, choose a file and set the encapsulation method to MPEG-4 or QuickTime.
Here is how you get the RTSP URL of Apple's keynotes using QuickTime Pro. Go to the page with the Apple events streams listed. Open one of the streams, and in QuickTime, choose File -> Save As and save it somewhere. Open the file in TextEdit, and the URL is somewhere in that file; it starts with rtsp:// and ends with .mov. Alterantively you can just use curl to open the .mov file embedded in the "Watch Now" page.
Note: People with bad routers or firewalls might have to launch VLC in the Terminal with the --rtsp-tcp option.
Example: [The command must be entered as one long command with no line breaks or extra spaces in the URL; it's been broken up here for narrower display width.]
/Applications/VLC.app/Contents/MacOS/VLC --rtsp-tcp \
rtsp://a1215.v14111.c1411.g.vq.akamaistream.net/\
5/1215/1411/3f8f1f38/1a1a1af156c5f364d84e7cdd4dbd298ebc\
1f8efb2a9d0265da4cb1e04fb22655be32a7157aed/windows_ref_300.mov \
--sout '#standard{access=file,mux=mp4,url=/Users/\
Shared/VLCoutput.mp4}'
[robg adds: I haven't tested this one, but I've been asked about capturing streams a number of times. So in spite of the sync problem (maybe it could be fixed with iMovie to separate and adjust the soundtrack?), this may be of interest to a few folks.]

