I installed and antenna a few years ago and I have never looked back. The ONLY downside is that I cannot get ESPN for sports - but I am not going to pay $100 a month for ESPN. Most of the major sports events for Arizona (where I live) are carried over the air (except for the Phoenix Suns, but I don't watch that team anyway).
I have the Hauppauge 2250 HDTV tuner and I use Windows 7 Media Center. I can record two programs at once and my HDTV picture rivals cable in quality.
If you do cut the cable make sure:
1. You get a good monitor / HDTV. A poor monitor will give you a subpar HDTV picture.
2. You get the correct antenna - the wrong kind will not receive clear signals.
3. If you are running off of a computer, MAKE SURE you get a good GPU. A cheap PSU will give you a really bad HDTV picture.
4. When you connect your antenna cables make sure that you install the end connections correctly and firmly tighten all of the connections.
5. Make sure that you are in an area where you have a strong over the air TV signal. Rural areas can have problems with reception.
6. If you are using a computer, make sure you get a high quality tuner. I recommend the Hauppauge 2250. It has two separate tuners and does a good job processing the OTA signal.