The first gripe I have about the media streaming devices is that you have to have an umbilical cord to the internet for the units to be usable. Even Roku requires a special application to be used for compatibility with the MythTV project. MythTV is for the most part an open source computer based DVR. Maybe that is why AT&T now offers a free DVR (read the fine print) to combat such projects. If you have to have an umbilical cord on the units then your use of it (i.e what you watch and etc is not private). What I watch (especially the videos we made ourselves) should be none of anyone's business.
The second issue I have, is that if you modify the units in any way, you will be read the riot act under some obscure and unfair law such as the DMCA. So you really do not own the unit. You are in effect just renting it. What really hurts is that the units were based on open source software. Kind of two faced to say the least. Eventually, because the unit is locked down to insure the software can not be upgraded for your own use then you can not use the unit for anything else. It becomes a paperweight, An exception to this is Boxee, but the price of it is more than just building a low powered pc and installing XBMC (could become proprietary vary soon).
Along the same lines is units such as as the Appletv are also proprietary but Apple has not yet seen to stop the alteration of the units from being modified to run such software as XBMC. But they could do like Sony did with the linux option on the PS3 and lock it out. So again the unit is not yours to use as you see fit as it is just a rental. Apple seems to have a tendency to obsolete it's products whenever they need a boost in the pocketbook. That seems to be generally true of all the makers of the home media streamers. I will say one thing is that the Appletv is competitively priced where in my opinion their computers are not.
After all this, what do you do? The simplest way is to get or build a micro pc and install software such as xbmc or a Mythtv frontend. You can build a "good" barebones system for under two hundred dollars. Then you can use the unit for what ever else you want. You also would not need an umbilical cord (except for certain services) to use the unit. An average user might not want to do this.
Almost went to get a first generation hackable roku box, but then decided on another open option. That is to get a micro-controller board such as the Raspberry Pi for under fifty dollars and install something such as Raspbmc software to the unit. You have an instant media streamer. It is low power, does not need cooling under normal circumstances, and can be used for other things with just a change of the memory card. One more feature I like about it is that although it supports the new hdmi cabling, you can also use the traditional composite signal used by older monitors and TV's. Display options are limited not using the hdmi interface. So all in all with the Raspbmc, I can use the MythTV without ever needing the internet for home based media such as free over the air TV and personally developed media.
Built a raspbmc and using a dvd player as a monitor for the time being.