Although sky+ is a HDD based system there is a facility once you have recorded something to copy it out, to vcr or even a pc if you wish. I don't think there is any dvd recorder out there that has the epg system.
With sky you still get all the normal channels so I can't see any other channels that you could record.
If it is things like movie channels or ppv then they are encrypted and you can't copy them to anything anyway.