I don't have an ipod. But I was wondering--if I buy a TV show episode off Itunes, how much trouble is it to make a DVD of that episode to play in my DVD player?

For a full dvd it really depends.

http://tmpgenc.pegasys-inc.com/en/product/tda20.html

take that for a test drive. It's really nice, easy to use. You'll need nero and a little knowhow, but it works well. Your best bet though would be to get one of the Divx players, as they can pretty much play everything. Very nice to have one so you can just throw files on a disc and play them that way.

But, as they're protected whether or not you'll be able to burn them is really dependent. And since they're protected, whether or not they'll play is another issue.