Exactly - unless the program is filmed in HD there is no point watching it in HD.
For example, let's say they re-run a TV show filmed 5 years ago. It would not have been filmed in HD and so transmitting it in HD is going to look the same as having it transmitted in SD (well perhaps there might be a very very marginal difference but not discernible).
If something is filmed in HD and transmitted in HD the quality is amazing. I watched the US Masters Golf last year in HD and it was quite amazing. The detail is amazing, you see the individual blades of grass. It is so crystal clear. It is well worth getting HD to see sporting events that are filmed in HD.
Now I do not know how much sport is actually filmed in HD. I think a lot, if not most of the US Golf Tournaments are filmed in HD, but whether Sky transmit them in HD is a different thing.
But overall, yes I would say it is worth it as more and more programs are being filmed in HD.
I just wish there was a way you could see the US Masters coverage in HD like how I saw it last year. It was just amazing.