Hmmm, interesting. I've always been under the impression that video-capping devices will always introduce lag, even broadcast-quality stuff - noticed this when I was at a TV station and they had me and my friend play some Donkey Konga running through their standard recording equipment.
Anyway, I have a Hauppauge HD PVR and I'm gonna see if VirtualDub makes minimises the lag enough for me to play anything on my laptop.