The following files are officially served by Udacity from Amazon S3 and should be accessible even if YouTube is blocked or if you want an offline access.
Video files are numbered and zipped per unit and contain a playlist file for convenience. You can use for example VLC player to play them.
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Note: there are higher quality videos which are directly downloadable from the Downloadables section of each page. If you have any trouble opening the files you download here, try downloading them there.