I know how that feel, bro. 720p HD capture devices is more powerful but can cost from RM450-700 with the popular one being Hauppauge HD PVR, Blackmagic Intensity, Avermedia Game Capture HD and Elgato Game Capture HD. I have little knowledge in them though simply because I never have one to play with You can read some reviews online or watch youtube videos for their video quality.

Hauppauge HD PVR 2 review
http://www.eurogamer.net/articles/df-hardw...hd-pvr-2-review

Avermedia Game Capture HD review
http://www.eurogamer.net/articles/digitalf...pture-hd-review

Blackmagic Intensity review
http://www.eurogamer.net/articles/digitalf...ameplay-capture

Elgato Game Capture HD review
http://asia.gamespot.com/features/the-dimu...tition-6379756/

As for SD devices, there are other brands like Dazzle, Roxio and Elgato but I think it's more or less on par with Easycap except Grabber has slight advantage of having component input

I'm not sure about this but normally not. The recordings you made will be store in the pc/laptop internal HDD/external HDD/USB flashdrive you attached to, not in the capture device itself as it has no internal storage. Except for Avermedia which is a standalone capture device, there's a slot on the underside of the unit where a basic 2.5" SATA hard drive can be inserted but I'm not sure if the HDD is included or you have to buy separately