The Daily Show can be viewed online. Most pieces of the program are online, and appart from having more ad space, I can't see why they split up the episodes.
However, if you don't want to keep clicking, you can just download most of the early daily shows...
What you need: GNU/Linux, bash, sed, curl, grep.
If you have a Debian based GNU/Linux system, like Ubuntu, you can download and install the needed files with:
sudo apt-get install bash sed curl grep
You probably already have most of these, but curl might be new on your system.
Copy the script below and save it as downloadDaily.sh.
#!/bin/bash
#GIVE THE YEAR AS THE FIRST ARGUMENT, e.g. 2004
#The resulting file collection will be around 7 GB.
y=$1
odir=TheDailyShow_${y}
mkdir -p ${odir}
if [[ -a ${odir}/vidids.lst ]]; then
echo "${odir}/vidids.lst already exists, remove if you need it to refresh"
else
echo -n > ${odir}/vidids.lst
for i in {0..40}; do
let p=i*20
echo Downloading search page ${i}
curl -A 'Mozilla/5.0' 'http://www.thedailyshow.com/tds_files/includes/search/search_results.jhtml?searchterm=*-*-'$y'&requiredfields=comedy_st:video&sortType=dated&filterDupes=0&guest_search=&guest_type=&tag_search=&additionalFields=*&numresults=20&start='$p'&resultview=video&search_title=All%20January%20'$y'&term=&itemId=#results' | tr -d '\n' |egrep -o 'videoId=[0-9]+[^>]*>[0-9/]+'$y'</a>' |sed -r -e 's/videoId=([0-9]+)&amp;title=([^"]*).*>([0-9/]+)<\/a>/\1 \3_\2/;s/[^a-zA-Z 0-9-]/_/g' >> ${odir}/vidids.lst
done
fi
#vidlist is here, download the FLV files
oldIFS=$IFS
IFS="
"
for vid in `cat ${odir}/vidids.lst|sort --unique`; do
unset IFS
v=(${vid})
vidId=${v[0]}
vidName=${v[1]}
#download video
of=${odir}/TheDailyShow-${vidName}_${vidId}.flv
if [[ -a $of ]]; then
echo "Already got: ${of}"
else
echo "Downloading: ${vidId}: $vidName -> ${of}"
curl -A 'Mozilla/5.0' -o ${of} `curl -s -A 'Mozilla/5.0' 'http://www.thedailyshow.com/sitewide/video_player/shared/data/flv_xml_gen.jhtml?ml_video='$vidId'&hiLoPref=hi' | grep -o '<src>.*</src>' |sed -r -e 's/<.?src>//g'`
fi;
donebash downloadDaily.sh 2006
This will result in about 7GB of FLV video files, about all the Daily Show you will ever need! One problem however, remains: most newer videos are hosted via RTMP. And as long as curl does not support RTMP, you won't be able to download them with this script.