Perhaps the hardest part of the whole setup is getting the right Antenna (at least for me it was). First off, let me warn you that unless you start right off the bat with a huge-ass antenna, you're probably going to have to tweak the hell out of the setup, and will likely end up returning a few antennas before you get the right one. That being said, let's get right down to it.
First and foremost, when setting up the system, height is everything. A crappy antenna 20 feet in the air is far better than a fantastic antenna sitting on the floor. Another important thing when configuring the system is to make sure there are no obstructions (trees) between the antenna and the tower. Obviously you are going to have walls if you use an indoor antenna, but the less between the antenna and the tower, the better.
One more note before we move to the actual antenna. Please keep in mind that there are antenna amplifiers out there that can pick up the signal quite drastically if yours is very weak (but still getting something).
When picking up an antenna it's important to know that some models may actually impair reception.
You can find more well designed models over at AVSForum.
And now for the good stuff; if you are relatively close to the tower (0 to 20 miles), you should definitely start off with a Allegro UHF Antenna Model 4149 for indoor use. This antenna is pretty amazing when you consider the cost, and it may likely get the job done. It states that it's indoor, but you might have to stick it in the attic to get it to run properly. This can be used at a much further distance (I can get it running at 35 miles using a bowtie mod, more mod info, an amp, and some height). This is not, however, an outdoor antenna, so don't stick it on a mast outside if you have bad weather, because you'll only find tin shreds the next morning :).
Now, if the Allegro UHF Antenna doesn't cut it for you, it's time to hit the roof. Sorry folks, no way around it. There are some ways to make it less painful. Assuming you have a chimney (please say you do), just strap this puppy to it, and you've got yourself a mast holder. I got my mast from radioshack. "Mast" makes it sound all complicated though; in actuality it's a 10 foot pole with one tapered edge so you can stick more than one together. It only took one 10 footer strapped to the chimney to get flawless reception though. I wouldn't recommend sticking more than one together unless you tie the mast to the roof just for safe keeping (my antenna survived a windstorm nicely with no tie down the day after I stuck it up. Absolutely no trouble).
Ok, we've got a place to stick the antenna, but which one to get... I'll tell you what I got, and you'll just have to feel your way around since everyone's location is different. I ended up with a RS VU-90XR. This lil puppy is one of the smallest range RS ones they've got, and I picked it up for $25 (usd). They have way larger ones, but I am not sure how well they would hold up with the chimney kit. In any case, I strapped it to the mast, and had a friend help shove it against the chimney kit while i screwed it in. There are some Channel Master antennas that are really impressive, but I haven't tried them. Again, I would consult the overwhelming wealth of data they have on this subject over at AVSForum.
Now for some final tips before we go on. First off, do not try any of these things (I did, don't ask me what I was thinking): This one, This one, or This one. Aside from those tragedies, I would recommend getting some Quad Shielded RG-6 since you'll be running the cabling outside. Last but not least, don't forget to ground that antenna. Nothing like a lightning rod running straight to your computer!