I've been using Transcribe! from www.seventhstring.com for the last several months to learn songs. At $39 it's worth every penny. It will work with any format I've thrown at it, which includes videos. There is a 30 day free trial period for you to try it out before you buy it.
This program is fantastic as well. It's invaluable if you need to learn a song in a different key. Just change it to the key you want and save the new file. BAM, you now have the song in a different key so you can learn it.
I've not used Transcribe so I can't comment on how it compares but BestPractice is a great tool for changing keys without changing tempo or changing tempo without changing pitch. Very easy to use and it's free.

