I use something called PSXMC - It's a free program (when I last cheked) and you can probably find it at www.zophar.net , or try a google search.

You just stick the PSX CD into your CD drive in your PC, and let the program analyze it (you might need to enable the special scan methods for some games like FF8/9 or CC). It then gives you a list of FMVs and Audio tracks (not audio CD tracks, but internal XA sound tracks in the game), and will let you rip/convert them to AVI and WAV respectively, which'll let you play them in normal media players afterwards whenever you want. It's a bit unstable at times, and the version I've got is half in a foreign language, but it's clear enough to see what everything does, and does the job if you're careful.



EDIT: I forgot, this is for PSX games, I don't know how to do it for PS2 games.