Download more of The Daily Show then you can look at

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]+)&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;

done

After saving this, you can download all of the 2006 clips from The Daily Show by issuing:

bash 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.