i have to aggree with roger06, i have a dedicated supply to my AV/HIFI kit that i installed myself. sheilded cable all the way from the distribution board even with its own breaker and mains conditioner, this has really been taken to the extreme and i wouldnt expect the average home owner to have such a set-up.
but as i am a electrician it was light work, but in answer to your question i have shown the difference to many a unbeliver by simply unplugging my tv and pluging it into the normal supply, the difference is vast even my wife has to aggree and she normally doesnt see the point in any of it.
a quick and easy way to see the difference is to change the mains cable on your sky box, hdmi lead, lead to tv and a mains conditioner this should be the absolute min, as for how far you want to take it depends on how deep your pockets are, but keep in mind after a certain point some expense will not justify the outlay