Like most folks, I'm eagerly awaiting the Hulu app that's rumored to be heading to the iPhone. (I need my daily "Daily Show" fix!)
Of course, if and when it lands, it'll require a live Internet connection to stream content--and those are still pretty hard to come by in places like airplanes and underground government bunkers (sorry, I've been watching a lot of "Chuck"). That's why I'm using Replay Media Catcher to record shows off Fancast, not unlike a DVR records from cable.
Before you ask, no, RMC doesn't work with Hulu. It used to, but some change to the site's method of streaming rendered RMC incompatible.
Fortunately, it records like a champ from Fancast (and dozens of other streaming-video sites, including DailyMotion, iFilm, and the like). I tried the $39.95 program with shows like "60 Minutes" and "The Colbert Report," and it made simple work of saving the streams as FLV files on my PC.
From there I used RMC's built-in converter to create iPhone-friendly MP4 files. (It can also extract MP3s if you're interested in turning, say, a music video into a song file.) This takes a bit of time, of course, as does the actual process of recording streams, which happens more or less in real time.
But when you're done, you'll have a video file you can watch wherever and whenever you want, no Wi-Fi or 3G required. Not too shabby.