Obviously not legal, but plenty of people bring back DVDs across the border. And in 20 years, I don't recall ever having my bags checked by customs, even at the airport.
An easier way is to rent movies from a shop like Movieland, which can be as cheap as HK$10 on certain days, get to know your PC if you don't already, and use it to rip and burn. All the software you need to rip (ie copy the DVD) can be had free, though you may want to try various programs to see which works best with your setup. Even more so for the burning (making your own DVD from the copied file).
This system works very well for me: 1. rent a pile of DVDs on discount day 2. spend a few hours ripping the lot to hard drive (it's best if you have well over 100 GB) 3. return DVDs next day 4. burn from hard drive to DVD RW as required - each movie takes maybe an hour, or shorter if your setup is working nicely.
I use it mainly as a time-shift system - unless I really want to keep a movie, I erase the DVD RW and put the next movie on, and of course erase the files from the hard drive, because they take up a lot of space.
The best software for organizing and burning (for me) was Nero, which is commercial but came free with my DVD drive. Usually, you'll need some other software for the occasions when Nero won't work with a disc or file.
DVD RWs may have a limit on the number of times they work well with being erased and rewritten, but they're so cheap in Hong Kong it barely matters.
Movieland has a decent selection of films and other DVDs, far from perfect but a hell of a lot better than the unlamented Blockbuster.
The quality of the disc by the way is perfect or near perfect, depending on the level of compression you choose. Good enough to put on my projector, which often wasn't the case with DVDs from China.