Sonydude might have hit the point that is confusing you. Just because it's an "HD" channel doesn't mean the program is being broadcast in HD. There are a number of "HD" channels that show little to no HD programming.
If you post some examples, people might be able to give more specific feedback.
Original aspect ratio (commonly referred to as 'OAR') also comes into play, especially for DVDs - this is a common complaint for new HDTV owners. I admit when I got my first HDTV almost 7 years ago, I didn't know anything about this either. As mentioned above, movies are filed in different ratios - some will fill and HDTV screen while others will not. Once you realize the difference, you will even notice the different ratios on the big screen.