The standalone PVRs by Replay and Tivo (I don't know why this forum calls them PDRs, no one else does) work with analog sources only. Digital sources like cable & satellite are converted to analog by their respective set-top boxes/receivers before being redigitized by the PVR. The PVR controls channel changing on the set-top box.
The combination PVR/sat recievers DirecTivo and UltimateTV (Microsoft) work only with DirecTV. They record the digital stream direct from satellite and won't work with any analog sources. This avoids the inevitable degradation by the reencoding in the standalones, preserves digital audio, and is more space efficient, but has the disadvantage of no recording of locals off of antenna/cable.
Subscription fees on Tivo -- think of it as "software sold separately". The built-in Tivo software only allows manual timers like a VCR if you don't subscribe (if you buy a standalone with 1.3 loaded; 2.0+ preloaded machines require a subscription). You pay either $10 a month or $199 for life of the unit for full functionality; it's well worth it. ReplayTV has "free" service but in reality the price is bundled into the hardware price which is higher than Tivo's. Add $199 to Tivo if price comparing to Replay. I like Tivo's software better though, and would pay a bit more for it.