If you're using Windows, you can view probably the view the videos in iTunes (assuming you're a registered developer). I downloaded videos from the 2010 set that way.
This years set is entirely downloadable to iTunes as well. On the left sidebar, there is a "View all in iTunes" link shaped as a button that will redirect you to login if need be, and then open the iTunes U Apple Developer page where you can download them all to be local to your iTunes library.