Unlike a VCR, DVRs usually have a monthly fee associated with their use. This is because the devices dial into a server once every few days and download new program grids (DVRs need access to a telephone line, but can be configured to dial in the middle of the night, or at other times when the line is likely to be clear).
TiVo charges a set monthly fee, but offers the option of paying a larger amount once for a "lifetime subscription" (lifetime of the unit, that is). Microsoft's UltimateTV charges a monthly fee, but doesn't offer lifetime subscriptions. ReplayTV doesn't currently charge a monthly fee for the service, but an activation fee is required, and the boxes themselves tend to be a little more expensive than the competitors.
If you don't mind watching your shows on the small screen, an alternate solution exists for PC owners: Products like the ATI All-In-Wonder and Sony Giga Pocket cards allow you to capture television signals digitally to your computer's hard drive, in essence using your PC as an elaborate DVR. There is no monthly fee to pay, but you also miss out on some of the advanced features such as constantly updated program grids, Season Passes and the like. Giga Pocket allows you to save recorded programs to VHS or DVD-R, and most video-capture boards have "video out" jacks, making it possible to wire your television to the computer.