I have looked for this information before, but the planets have aligned and I was able to find what I was looking for.
Here are complete instructions for how to download Real Audio streams and convert them to MP3 (or really, whatever) format:
Note: there is actually much more useful information on those pages if you were interested.
The tool for Windows is Flashget and for Linux, it’s simply mplayer.
The only reason I’m really interested is to get some This American Life episodes onto my iPod… that will make me happy.