'Native' is often the best way to set your cable box to. This way the cable box doesn't artificially set the video to something other than what is coming in. 720p broadcasts will go to your TV at 720p, while 1080i broadcasts will go to your display at 1080i.
It should be noted that certain cable companies convert all your broadcasts to one format, most often 1080i, to make things easier on them.
Yet, at the end of the day, it is typical for there to be only minor differences in the quality between 720p vs. 1080i to the human eye with 99% of viewing material unless there is another 'problem' in place, such as really poor processing.
Since there are so many variables involved, it is going to be your judgement call to decide upon, but in a perfect world, native would be the best setting. 720p works best for sports if the sports are SHOT at 720p, and 1080i works best for non-action material, like movies.
Most people watch a fair amount of sporting and likely have their boxes set to 1080i, myself included, and things look very good regardless of the setting.
