Keyphrase Prediction (KP) is an established NLP task, aiming to yield representative phrases to summarize the main content of a given document. Despite major progress in re-cent years, existing works on KP have mainly focused on formal texts such as scientific papers or weblogs. The challenges of KP in informal-text domains are not yet fully studied. To this end, this work studies new challenges of KP in transcripts of videos, an understudied domain for KP that involves informal texts and non-cohesive presentation styles. A bottleneck for KP research in this domain involves the lack of high-quality and large-scale annotated data that hinders the development of advanced KP models. To address this issue, we introduce a large-scale manually-annotated KP dataset in the domain of live-stream video transcripts obtained by automatic speech recognition tools. Concretely, transcripts of 500+ hours of videos streamed on the behance.net platform are manually labeled with important keyphrases. Our analysis of the dataset reveals the challenging nature of KP in transcripts. Moreover, for the first time in KP, we demonstrate the idea of improving KP for long documents (i.e., transcripts) by feeding models with paragraph-level keyphrases, i.e., hierarchical extraction. To foster future research, we will publicly release the dataset and code.