Allavsoft also works great in downloading videos from Udemy, Lynda, Coursera etc

I use Allavsoft to download Udemy courses offline
Here is the step by step guide https://www.allavsoft.com/how-to/download-udemy-videos.html
It helps to download Udemy to MP4, AVI, MOV, MP3, etc

Here is the step by step guide on how to use Allavsoft to download videos as well as subtitles http://www.allavsoft.com/how-to/lynda-video-downloader.html
It also helps to download from Udemy, Pluralsight etc.
I prefer its batch downloading and directly download videos to any video or audio format like MP4, MP3 etc.

I usually use Allavsoft to download free and paid Lynda videos offline.
Here is the easy guide http://www.allavsoft.com/how-to/lynda-video-downloader.html

It also helps to download video from Udemy, Digital tutors, tutsplus etc.

I like its batch downloading and directly download video to any video and audio format.

Hope it also helps for you.