My parents actually bought me the red Basic box set (the first one, which ever that was) and were initially relatively supportive, and latter they bought me the light blue Expert set. I then spent my allowance on some AD&D books. However, after about two or three years of me playing, they flipped through one of the AD&D books and were horrified by the soft porn, crude drawings, demonic and occult references and the like. Actually, I can't say I blame them too much, because I did not then and do not know approve of some of the presentation in the 1e books, nor do I approve now of the inclusion of the occult in D&D (for example, I thought the 3e Binder class inappropriate). But in any event, from that experience they went from being mildly supportive to extremely hostile, and eventually must have got some influence from the occult scare folks, because we had a series of huge fights and they eventually forbid me to play and burned by AD&D books.
D&D is the first thing I remember I ever deliberately disobeyed my parents over. Me not playing lasted maybe two weeks, and the last fight is an extremely sore point with me to this day that I try not to think about.
Since then, we've had this thing where they basically ignore that I'm playing (well, was playing, since I haven't played in like 4 years now, sucks to be me), and I don't bring it up and make some minimal effort to hide the fact from view so that they aren't forced to acknowledge it. So far as I know, they know and still vehemently disapprove but are resigned to my 'bizzare' and dangerous habit. I don't really know, because we don't talk about it.
Now that I'm out on my own (and married... and have kids), the books are on the book shelf, so its not like I'm trying to hide it but we haven't had the big fight over it again. I anticipate having it at some point, as soon as they realize my 4 year old girls favorite TV program is the Dungeon & Dragon's cartoon. And in a year or two, I fully intend to start an M&M inspired game with them, and wouldn't be adverse to playing D&D with them. So eventually this will all result in some sort of huge flamefest.