I've purchased one TV show season in HD and managed to get some of the Battlestar Gallactica when they had them for free.
They look pretty darn good, though I've watched them on my 65" TV screen, not really on my MBP. I'd say, yes, better than the SD. The TV shows download the HD & SD versions when you buy the HD. It will auto put the SD version on your iPod when you sync, but I've not been able to figure out how to play the SD version in iTunes to really compare the two of them on a side-by-side type of basis.