I recently went through this decision process. I purchased a 37" Viewsonic from Costco. Shaw connected me to their two month free trial HD/Digital package. Initially, I used the component cable supplied with the basic HD box. I then bought the HD cabling kit from Costco for $99. This kit included an extensive variety of cables and an HDMI/DVI adapter - a single HDMI Monster cable can cost up to $199 at Future Shop.
The basic HD box from Shaw has a DVI connector only. DVI carries video, but not audio. This means you cannot use the TV's speakers and must route your audio to an external sound system instead. That may be fine, but space constrictions confined me to the TV set itself, and I wasn't in the mood to fork out some extra dough on a home theatre system for the time being. Yes, the 5.1 channel sound is being wasted, but that's a challenge for another day.
So my dilemma was I had a great HD picture in DVI, but in order to hear the audio, I had to switch over to the component cables which gave me a degraded picture - component video can only handle analog which has been converted from HD. I then decided to upgrade the HD box to the HD-PVR for an extra $300 ($748). This box has a HDMI connector, and allows me to combine both the native HD video and audio feeds - and what a difference that makes.
I read an article that helped me understand the fundamentals, and it is available here:
Ecoustics Forums
One more thing... HD broadcasting can sometimes be a patchwork of analog, digital and HD programming resolutions. It can also be fed in letterbox, 16:9, 4:3 or other digital formats (1080/720/480). So your viewing experience will be tainted by all these formulas until the broadcasters arrive at a more consistent formula, and this will probably take another generation. The best HD quality broadcasts that are filled with the Wow factor are Discovery, PBS, National Geographic and Sports. Local news and movie channels are a hit and miss.