There are two different links that I want to share.
This one tells you in detail how to download the music videos right from the iTunes store. :)
And here is a link from me. At one point you probably thought it would be so cool if you could not only listen but also download the stuff that people share on iTunes. Well, here we go, a little nifty app that allows you to do that (it works standalone [does not require iTunes at all] too). :)
And the album art of course :)