Splitters
From SDA Knowledge Base
No matter what system you are recording, you'll need to find some way of getting video footage from your television to your recording device at the same time.
Powered Splitters
Powered splitters, also known as distribution amplifiers, are able to take A/V footage, duplicate it, and send it to multiple outputs simultaneously. You plug in your console's A/V connectors to the input and then hook up your capture device and television to the outputs. Done. The process happens instantaneously. You don't have to worry about any kind of delay. The only downside to this process is that they're a little bit pricey. They can be approximately $30-100 depending on the type of connector. You just need to make sure that you get the appropriate splitter for the cable connector that you are using.
Composite/S-Video splitters
Component Splitter (often component splitters will have composite video connectors, but they won't have S-Video)
HDMI Splitters - Usually these splitters