TiVo includes that as well. With TiVo, you can rewind up to 35 minutes..
As for which is better, it's a matter of personal preference. I've got both, and I like them both. TiVo has some additional features (i.e. TiVo suggestions, which I don't think the COX DVR does--basically, it tracks what you like watching, and it records similar shows).
But, TiVo has the up front cost that Cox's DVR doesn't. That has to factor in as well....