My friend uses an EasyCap to record all of his gameplay (Cpl ManBearPig on youtube if you want to check it out. Try to view his own personal gameplay videos to ensure it is EasyCap). It isn't awful really, but there is a noticeable difference even from just plain 'ol component cables to EasyCap quality.
If you want the best quality, the HD PVR is top of the line. It doesn't get better for the price.
There is the Dazzle that is the middle line. It is definitely lower quality than the HD PVR, but higher than the EasyCap. Only the HD PVR out of the three can actually record in HD as far as I'm aware.
These are all USB capture cards, but they are the most widely used. If you look at CoD montages from places such as Machinima and Hazard Cinemas, they generally use the HD PVR. It is a very high quality USB capture card that is fantastic once set up.