Most of the time your TV is going to do the conversion anyway - with much more expensive circuitry which is fine-tuned to your specific display. For example, my LCD TV has a native resolution of 720p. EVERYTHING that is displayed on that unit is converted, by the TV to 720p. Therefore, I just set the resolution on the DirecTV units to "native" so the signal only has to be altered ONCE - by the TV. If you choose 1080i on your DirecTV receiver, and the native signal is only 480p, then you are doing TWO conversions to the original signal (on the D-TV receiver from 480p to 1080i, and then on the TV from 1080i to 720p). Not good.
I use native mode for everything.