Easy way to download music playlists from YouTube

This is for educational purposes only. It is your responsibility to verify whether or not YouTube allows you to do this.

I've recently found a playlist I wanted to "git pull" from YouTube, but realize it would take too long to use tools such as Keepvid, or any other MP3 fetchers online. Then I recalled that there is this neat little tool called youtube-dl, and decided to learn how to use it in order to download MP3s from YouTube.
To my big surprise, it also allows us to download entire playlists.

As a result, I've spent some time to write down a short step by step guide for Windows, that should help us download entire youtube playlists, as well as individual MP3s from youtube videos.

I expect to append a similar guide for Linux in the same gist file, once I get the time.