Not like this is some amazingly new feature or something, but I've always had digital cable which didn't really allow for it. My Dish DVR however does have PIP. So yeah, Redskins game (they are getting worked over by the Giants...

) and U.S. Open semifinal are both on, and I have no problems. The position options for the PIP window don't move it quite as far in the corner as I would like, but it's more than outweighed by the ability to keep track of both events and skip most of the commercials.
I even told this girl I'm taking out to dinner that I'm not picking her up until the Redskins game is done and she is ok with that so points for her. Yay sports!