You need "DL" (Dual Layer) disc. They are about $5 a piece right now. I'll stick with my single layer disc which are about .35 cents a piece.
@firebane What are you trying to copy? You would only need a dual layer disk if you want an exact 1.1 copy of the movie, otherwise you can use a single layer disk with the correct programs to backup. As jmet states dual layer disks are kind of pricey for the most part you can get away with single layer media.