As stated so far, in order to receive HD, you must have a an HD receiver box. Personally, I like the HD DVR's from my service provider (Comcast). You can't get an HD signal without the box. Whether it be Cable, Direct TV or Dish Network, you'll need a box to get HD.
As for connections, agree with others that you should use HDMI cables as they are designed for the highest quality reception well above all other types of cables.
Since you bought it at Best Buy, you should have it calibrated. Cost me $179 from Best Buy (The Geek Squad).
Get a Blue Ray DVD player as well as within a year all DVD's will be coming out in Blue Ray, so you will want to see the best picture of the movies you can.