It's personal preference, really, and also depends on your TV. If your TV does a good job "helping" the PQ on SD, you might find that you have better luck letting your TV do the work on a 480i/p signal rather than forcing the HR20 to do the upconversion. I have found this to be the case for mine, but I can't stand the time it takes to switch channels while it's changing resolutions, and I don't watch that much SD.
I have mine set only to 1080i and Native "off." I've not found much (if any) difference on HD channels using 720p vs. 1080i.