...don't have a HDD built in- they also connect to something externally like you have now. Usually this is USB flash drives or externals.

So it would be a trade off, essentially. You would however gain back your laptop for other purposes. FWIW, I currently use a WD TV Live, but they do sell one with a built in HDD ("WD TV Live Hub"). See here:

http://www.wdc.com/en/products/products.aspx?id=570
hth,
Pedro