I have been using the HD PVR 2, It is really easy to use with the Xbox 360 but may be a bit more difficult with the PS3 / Wii. Easy set up, easy to use. Here is a link to my channel if you want to see the quality of the film (make sure to turn the HD up). Any other questions ask. For PC I use HyperCam 2 (way easier then any capture device)
http://www.youtube.com/user/cakeandshadow