what do you have at the moment ? it really depends what your used to and whether you are willing to spend the money required to do it properly.
For example if you watch one t.v program on a 14" t.v a week then its probally a complete waste of time and money.
If like myself your really into films and music then yes i would say it was.
Sky HD is great if you like either documentary's, films or the latest programs on Sky one. the BBC HD channel is very limited and only avaible for a couple of hours every evening. to see the differance you would have idearly, a 32-52" full HD ready screen, the real limiting factor here is of course cost as idearly you will get one of the better manufactuers aswell.
Blu-ray is very very new to the market and stand alone players range from about £800-£1000, a by far cheaper option is a ps3 which has a brilliant blu ray player build in and looks smooth enough to sit under your t.v (unlike the fisher price looking xbox 360).
for me the improvment in video quality is very clear, ive had sky HD for a year now and i work at Sky so am surrounded by it, it does however seem to vary as to who can see the differance (my mum thinks HD looks worse, but then she is old and blind so we ignore her
). However it definatly becomes apparent that the more u watch HD the more u adjust and see standard definition (SD) in the same way DVD's look good and VHS looks pooh.
i find to match the increase in video quality the audio is equally as advanced, especially when coming from a SkyHD film, Blu-ray disk or Ps3 game that have full 5.1 Dolby digital and then the ultimate is the new Dolby digital HD which sounds incredible. for this improvement u do however have to buy a relativly expensive sound system, in my opinion anything under around £1000 wouldnt be showing the media's full ability.
you need to descide what u want out of your system, how much u are able to spend and of course looks are important when in a living room or other social space.
if you want to know tech details such as connection and brands, spec etc post away i do this for a living