Sky+ is the easiest way to go at the moment.
Simple to use, press a button on remote, up comes a very good tv guide, scroll to prog you want to record and simply press R. Job done, you can watch the prog as many times as you like and you also get an option to do a series link, if the prog is a series (like The Sopranos for example) then it will record every episode from that series for you.
If not then have a look at buying a recordable dvd player, same as a video but with a dvd.