There's HD and there's HD. Sky is only 720p, whereas blu-ray is 1080p which means it's much higher resolution. BUT in addition to this, satellite TV is transmitted digitally, and the bandwidth of various channels can be reduced so even HD could still look rubbish. Sky probably won't do this very often though because they are trying to flog it.
Just to be clear – you do realise that you have to be watching something that was made in HD for it to be any better, don't you? Normal programmes will look the same no matter what.
Also something to consider is that if you have a smaller telly and are further from it, you won't be close enough to see the difference between HD and normal. My parents for instance have a small telly discretely in the corner of the room which is watchable, but HD makes no difference when I've taken my PS3 up there at Christmas.
Blu ray is really nice on the whole – looks sharper, sounds better etc etc, but the films are the same. I mean a good film is a good film, no matter what you're watching it on.