Let me say this up front....I have inside knowledge of the industry given I work for a distiller.
As many have already said, distilling spirits in one's home is illegal (though it is legal in New Zealand).
Also, the TTB tax on distilled spirits is $13.50 per proof gallon...and the Feds are all about getting their money.
That show is bogus. No one in their right mind would pay the kind of money they imply is paid for a few gallons of Moonshine. Go to any liquor store that sells a 100 to 128 proof un-aged White Whiskey and you'll pay roughly $25...which is around $125 per gallon. Seeing them pay thousands of dollars for a few gallons is just not accurate.
Distilling is really not that difficult. As the 'Heads' begin to flow, one just needs to make sure you draw enough of that off before saving the 'Hearts.' (The Heads contain Methanol, which is poisonous).
And for what it's worth, much of the Distilled Spirits in the United States are manufactured by large Ethanol producers in the Midwest. The Bourbon guys make their own, but the clear stuff (Gin, Vodka, White Whiskey) in large part is made elsewhere.