Here in the US, that's sort of a grey area. No one is really sure. The law says no, sort of, it's not. The MPAA says yes.
I think the gist of it is, while it's not illegal to back up your movies, it is illegal to remove the copyright protection for said movies.
From experience, however, I would not recommend it. I did this for my movie collection and then had the hard drive fail on me. It took weeks to back up/record/collect those movies and I wasn't about to start from new again.
-Wolf sends