Internet can be your friend in this. I love baseball, so for the past two summers I've bought the MLB.tv regular package which shows every game live online and then in archives. I think it cost 89.99 for the season, and I considered it money well spent.
For football and NBA, I use channelsurfing.net and except for the suns games which are audio-only, I get a decent feed for any game I want to watch. I believe they do show NFL games on one of the sky channels here though but we don't have sky.