Never would have believed that a cable/connection could make so much difference. This ain't your father's coax, is it.
It's not the coax cable - those haven't changed all that much. It's the 8 strand twisted pair cable with the RJ45 clip on the end (looks like a larger version of the RJ11 phone connector most people are familiar with). It's partly the way the wires are used and largely better shielding/less vulnerable to interference allowing for a stronger signal with less noise and distortion.
The performance jump for the cost makes it 100% absolutely worth using it for a home setup. Commercially, it can be pretty expensive to rewire a suite from the older standards (Cat5, Cat5e), but it's generally worth the difference in price if it's a new buildout that has no existing wiring.