If we're talking about capture devices, I got one thing to contribute towards that. If you're doing retro and don't give a damn about HD, check out the infamous dazzle device. I got mine for ten bucks on ebay and it supports composite and s-video inputs. Native driver support in Linux and I think the quality is good enough. Any capture device that supports HD is magically over $100, I have no idea why. I don't truly believe this hardware is inherently that expensive. People keep buying this shit sure enough so that price won't drop for a while I gather.

So having hardware to grab your analogue signal from a game console is the easy part. The trick is solving the wiring situation so you can have output go to both the device and your TV.