And if so, how do you do it?! I know I can buy TV series at a highly inflated price, but I'd love to be able to record TV shows and save/watch them on my ATV.
You can get an Elgato tuner for your mac (There will be othres available for PC i guess) You can then watch tv on your computer using the program the tuner comes with.
The Elgato also comes with a planner interface that lets you set up recordings (saved on your computers hard drive), series links etc. Then you can set it it to automatically convert the recordings to AppleTV format and export them to iTunes, so you can watch it on your TV. The Elgato tuners can do digital, analogue, some do both, some have twin tuners so you can watch one record another, or record two.
your question didn't suggest that. it suggested that you were asking how to record TV shows using the appletv (that's how i interpreted it). a more clear and concise question would rule out any answers you weren't looking for.
you haven't stated if you are a mac or PC user, so suggesting a product is difficult. either way you will need to end up with a file that is appletv compliant (h.264 mpeg4).
the elgato produces very good results if it is configured and set up to do so. however it can only be as good as the source material that it is given.
I use ElGato's EyeTV 250 and export the files to iTunes using the TV preset. My device records in 640x480 MPEG2, and when exported still looks pretty good, but not great (comparable to VHS tape). ElGato now has devices that record digital HD signals with no compression, though, and should be able to export to TV at high enough resolution to give an acceptable picture I would think.