I just bought a RiffTrax of House on Haunted Hill in VOD fashion, so it has the movie in MPG format with the commentary spliced in. I really want to watch it on my TV, but I'm nervous about downloading programs from unsafe websites. Do you know of any good MPG to DVD converters I could use?

Won't your DVD player play MPG files? I don't think I've ever come across a DVD player that wouldn't. If you simply burn the file to DVD and put the disc in your player, it should recognize it as a data disc, and give you a list of the files on it. Simply choose the file and ask it to play it. That should work.
It depends what you mean by the commentary being "spliced in" though. Is it on a separate audio track, or what? If it's just an MPG file of the movie with the commentary running, it shouldn't be a problem, but if it's a multi-audio file, I don't know if your DVD can handle it.

The version I downloaded was a .mpg file, and they fade the sound of the movie in and out so they can make jokes. I'm pretty sure it's one audio file.
Will just burning the file work on a PS2? I'm going on a road trip, and I hook up a PS2 to one of the older models of the whole TV screen-in-a-car thing to watch DVDs.
Doing that right now, thanks! What kind of a file does it output as? Do I need another program to burn it to DVD?

Nope it does the whole thing with that one program, I think it even gives you the option to splice in audio tracks. You can even play Tetris while you wait for it to burn.

Yeah, I thought that was awesome. "Entertain me", indeed! Thanks!