Is it illegal to use a video downloader?

So, I've been wondering lately, is it really illegal to use a video downloader? I mean, I've seen so many websites and apps offering this service, and I've been tempted to use them to save my favorite clips for offline viewing. But then I started to worry about the legal implications. Do you know if there's a clear answer to this question? And if it is illegal, what kind of consequences can I face if I'm caught using one? I'd really appreciate your insight on this matter.