If I find something online that I *really* like, I'll save it to my hard drive, but I've never burned any of it to a DVD. We have a fairly decent collection that we keep on our (networked) media center machine. If I'm by myself, I'll watch it on my laptop, if I'm with the hubby, I'll watch it on the TV.
EDIT: I just answered this with porn in mind, but after re-reading the question, I'm not sure if you were asking about porn exclusively or all movies!
If you're asking about ALL movies, when it comes to non-porn, we still don't burn anything to DVD, and those are watched exclusively on the TV.