I use other redirector also that to cache such sites:
and others like this. Usually I separate servers per destination. But there are greater firms as Akamei, CDN which at the same time serve both youtube and windowsupdates destination, thus I can to caching either one or another, but not both together.
Would be wonderful to add in a plug-in caching these too, Very simply to make it, I can send the second script if it is necessary.
We are working hard to provide support for more websites. But as already supported sites keep changing the way they stream videos, we often end up fixing the issues. We'll try to add support for caching of the content you have mentioned very soon.
Also it's possible to use multiple plugins with Squid using zapchain (http://adzapper.sourceforge.net/scripts/zapchain).
Thank you very much for your inputs :-)