Coax will be fine w/OTA - you'll need to determine how far you are from the transmitter (digital). If you're close, "rabbit ears" will do just fine. Farther out, you might need to start looking at roof mounts or directionals.
On a good HDTV set, HD is outstanding. Watching NFL on HD is a paradigm shifting event. 🙂 Unfortunately, all the broadcasters haven't fully embraced HD, so there's hardly anything else on (w/a few notable exceptions). I cancelled my cable HD because of this... 🙁
If you're close to a transmit point - definitely try it. HD for free - and uncompressed - cable providers typically have to bit mash due to bandwidth limitations.
PM