Are you planning to update the contents of the USB hard drive frequently? If so, I would attach it to your MacBook. Be warned, however, that there is a major bug that prevents Boxee from scanning SMB shares (which is what your USB drive will be to Boxee). You will have to go to the Files section of Boxee and select individual files to play instead of browsing for them in Movies and Shows. This bug is scheduled to be fixed in the next software version.
If you attach the USB drive directly to Boxee, the contents will scan properly but once you shut down Boxee, you will lose write permissions and will have to reconnect the drive directly to your MacBook to reestablish permissions. Tedious, yes. This bug is also scheduled to be fixed soon.
This is good to know, Thanks Elrock! I wonder if that is why my Boxee is showing "Disconnected" now after I hooked up my external HDD?? I will load some files on the external HDD and try plugging it right into the Boxee.