That's actually a good question. I watch a limited number of shows, and I wonder if simply buying the DVD's of a program would turn out to be cheaper than actually subscribing.
Edit: I mean I've seen boxsets in BestBuy for as little as $25 and they're shows I watch.
If I had all the series of Simpsons, Futurama, Mythbusters, Family Guy and American Dad I believe from then on I believe I would rather use the monthly subscription fee (about $150 here for all the channels we want; TMN is great to have as they're free of charge for a monthly fee, I get all the recent Stargate and Dexter episodes and most of the big movies not too long after they're out for rental) for buying more boxsets and movie rentals.
The only HBO show I've bought myself was The Wire, on sale for $90 the entire season. That's less than $2 an episode. iTunes sells shows for $20 a season? That would be $100 for all of The Wire.
I don't think we get the actual HBO channel here in Canada, but The Movie Network (TMN) has a channel dedicated to HBO shows and you can get them On Demand for free. They also carry the On Demand for the Space (Sci-Fi) channel here. So we get HBO bundled into the movie package, which was a total of $35 a month IIRC, but with 5 people in the house we do get through a lot of movies so it actually has good value for money, especially as they get most of the recent movies and the actual movie rental costs ~$5, it only takes 7 rentals a month to get your moneys worth.