It depends on your location, but many places in the US have the big 4 + PBS available over the air. You just need an antenna capable of picking up the signal, a tuner capable of decoding it, and some device to record the decoded signal.

Go here to see what kind of antenna you'd need: http://www.antennaweb.org.

For the tuner and recording device, there are several options. I think most people use a PC + a tuner card + scheduling/recording software like Windows Media Center or MythTV. I'm using MythTV w/ XBMC as the frontend.