It's important to note, when using IDE, the lowest common denominator rules. Therefore, even though your Hard Drive might be DMA/33, if it is on the same channel as a non-DMA CD-Burner, the hard drive will not be able to use its DMA capabilities. This also goes the same for the various DMA speeds: with a DMA/66 drive on the same channel as a DMA/100, both devices will still run at DMA/66 speeds. You get the picture.
Therefore, if you're really dead set on staying away from SCSI, but still want high performace mass data storage, it's worth your time to either buy a motherboard with more than 2 IDE channels or buy a secondary IDE controller. This is also great when copying large amounts of data from one device to the other: when one device on a channel is being accessed, the other device on the channel will be dormant -- this can cause terrible slowdowns when ripping CDs, and big problems when cutting CDs when the source is on the same channel as the destination device.
My Setup: I've got a DMA/66 Hard drive on my primary Channel and a DMA/33 DVD-ROM and non-DMA 2x CD-Burner on the secondary channel. Normally I would want to put the DVD-ROM on an opposite channel from the burner, but I can't because on the hard drive is DMA/66, and I want the speed. Therefore I'm not using the DMA capabilities of my DVD drive, which is a shame because it adds a lot of CPU overhead and the transfer speed suffers. This isn't a huge problem, however, because I have a fast processor and the CD-Burner is only 2x, so even in non-DMA mode my DVD-ROM drive can still give it enough data per second to avoid a buffer underrun.