You can also buy a Personal Video recorder (
http://www.hauppauge.com/site/products/prods_hd-recorders.html), and run your cable box through it to be able to DVR stuff that you can keep forever, even after changing providers. I watch movies and shows through itunes, Flixster, Disney Movies Anywhere, YouTube, BYUtv, Amazon, etc. I can also stream espn3, theW.tv, BYUtv, etc. through my projector and watch games on my big screen just like I would do if it were on TV.
I don't know how it is now, but it seemed like there were always limitations to using those standalone boxes.