If you built your own, you could always drop in a DVD burner. For most of us, though, it's not an option. I've got a LOT on my home server. Some of the files (uncompressed video capture) are too big to even fit on a single DVD.
There are options to backup to the cloud, which is probably the best option since if your house burns down it's probably going to get your WHS and your DVDs. But again, with a lot of data, that's not really an option either.
What I've been doing is using old hard drives as a last-ditch storage system and keeping them in a fireproof safe.