ATI cablecard card (single-stream). Or wait for the imminent 4-stream one from... I forgot whom.
However, you are subject to channel/show level settings such as the "no copy" flags, or "copy once" flags which will prevent you from capturing a show or limit it to playback only on that particular device/computer (for instance you won't be able to burn it to a DVD or something to playback on a PS3). You are also limited to using MCE for playback of those shows.
With the HD-PVR they are simply H.264 encoded ".ts" files, which you can play from any compatible device or software, and can re-encode to change the format (for instance, you might want to convert it to a standard DVD video so your friend can watch it on their normal DVD player, especially nice for when you capture movies from the premium movie channels and would like to keep in HD format for your normal use, but can still convert for a friend when they ask you if you can record the last Harry Potter movie or latest episode of 24 for them).