I used to be able to make digital copies from my DVR into my VCR/DVD device. (makes copies of older Video tapes to DVDs) But cannot do that any more... the last several times I tried, the VCR/DVD simply refused and cited "Source is Copyrighted."
I could probably rig up some method to copy the data to my PC and make a disk that way, but at that point, it starts to be burdensome, and indeed a quick trip to Walmart will yield several DVDs for less than a meal at some local restaurant. $5.00 to about $20.00, typically... and the end result is a better copy.
The thing that really annoys me about commercial DVDs though is all the darn up front "trailers" one has to wade through... every time you want to watch the same old movie.