Watching the winter and summer olympics is literally the only reason I have to watch TV these days, and since the content is so locked up in media deals, buying a cable TV package seems to be the only option to see it in the US. Not so.
NBC (which carries the olympics) is broadcast free to air in HD, along with a few other major channels and a pile of crap that isn't fit for human consumption (like 24hr home shopping). Getting at this free content is basically a case of picking the right antenna.
1. Check available channels
Put your zipcode into the station direction finder at antennaweb.org to find out what channels are available in your area and where the TV transmitters are.
2. Buy an antenna
For best results you should probably use a high-gain outdoors antenna. But if you are renting, or want to do it on the cheap, you might want to check out Lifehacker's list of the best indoor antennas. In the SF bay area I can tune 82 channels, including NBC aka KNTV, with the un-amplified Mohu leaf which cost me $40. The leaf also happens to be the top recommendation from Lifehacker.
I have it mounted indoors about 9ft up the wall and I'm receiving all the channels listed by antennaweb. I even get KTLN, which antennaweb says is being broadcast from 57 miles away! The antennaweb recommended antenna to receive at that kind of distance is a large directional antenna with pre-amp, but the Mohu leaf is killing it. Amazing.
3. Tune channels
Follow your TV's instructions for tuning channels. You may have to move your antenna around to find the best reception.