PBS.org does not provide a download option for PBS shows, however, you can go into iTunes and download some shows from there for viewing later.
Related topics:
Do I need to be signed in to use the Watchlist?
Are videos ever removed from my Watchlist without my knowledge?
Is there a limit to how many videos I can save to my Watchlist?
Learn how to create an account
I am getting a message that a video is unavailable in my area. Why?
Where can I find the transcript for a particular story or program?