I can't compare the two directly but can say that there is a world of difference between BBC and BBC HD (but then I like documentaries). What I would suggest is going down to your local hi fi store and listening to and watching a decent blu ray system and then going down to currys and watching sky HD (or the other way round). To get the best out of either you'll need surround sound and you'd need to check that sky HD movies are transmitted in surround sound - no point in excellent pictures if the sound is bad. You also need to decide on a budget to include everything (ie. cables, plugs, mains leads which will be at least £200 if you go for a reasonable quality in a small room) and stick to it - a blu ray system (including sound system) could cost anything from £1k to £25k without the TV but the price will come down as more players as produced and blu ray becomes the industry standard. Films will also get cheaper over time.

Do some research and buy some hi fi magazines and check out the reviews for kit that is in your budget range, go watch / listen and start saving if you decide against Sky HD !