Dubstepforum.com

I just use the Streamripper plugin for Winamp. Actually saves and names individual files exactly how they are on the server that's streaming them, which is great for sites that just play mp3s because then you don't have to cut them up or anything.

This does a cracking job IMO.

http://audacity.sourceforge.net/

on mac, audio hijack is really good

http://rogueamoeba.com/audiohijack/