While the course is running (at least for the course I'm currently enrolled in) every video has a download icon at the far right.
At times (for me), the time-based nature of coursera is a very good thing. If I know that I need to complete a homework by 1am Sunday night, which means I need to finish watching this week's videos by Thursday night, that means there's a chance I'll actually do so. Without that deadline (and with no money or grade on the line) HN or Reddit or other timewasters are far too tempting.