I'm in the Boston area, and the sound quality of HD channels is very good. It does cut back and forth between HD and analog, however that transition is seamless 99% of the time. I was actually VERY surprised by this. No skips, no weird sounds. These comments are based on FM channels, I have not tried it on AM channels.
SiriusXM on the other hand, is absolute crap. The sound quality is worse than MP3 in the mid 1990's when the bitrates were all 128 or lower. This isn't limited to the CX-5 or Mazda. I've rented a few cars lately and the SiriusXM sound is equally crappy. When the trial is gone, there is no way I would renew it. It would be better investment to increase my mobile data plan and stream Pandora via bluetooth on the phone.