One problem I have is trying to burn premium movie channels (HBO, etc) to DVD. These contain the broadcast flag which prevent copying to DVD unless you are a hacker or have old software. Wikipedia explains this pretty good, I won't get into a discussion of the legality of the broadcast flag here for risk of getting banned, suffice it to say my kids can't watch some of their favorite movies on the minivan DVD because of this!
You can copy onto the HDD with no problems and burn most non-premium channel stuff to DVD.