What device do I use to connect Comcast cable to my HDTV?

On the cheap(and SD) would be a DTA converter which Comcast generally provides a couple for free or may charge $1.99/month. If you want to get into HD then your only choice would be a cable company STB/DVR or one of the few customer owned DVRs(Tivo, build your own WMC, etc.) that use a CC(cable card) that you rent(generally ~$2/month). A dual tuner Tivo with no fees(other than monthly CC charge) will run you ~$600, a PC could be more or less that.
Hooking a Comcast cable directly to your TV may get you the locals in HD(clear QAM) but nothing else will be HD, you may also get a few other less popular channels in clear QAM SD.

I agree, other than for a old CRT TV they aren't that great.
Your link looks interesting but I really don't believe Comcast will activate one of those devices, I'd guess they are for older cable systems but hopefully someone else will know for sure.....
I also agree that the Tivo upfront fee is quite steep and their monthly fee is as much or more than Comcast quoted for a DVR. Of course they are much better than a Comcast DVR but you pay for it. I went with a lifetime Tivo a little over 3 years ago and haven't looked back, mine setup was ~$550 which so far has averaged down to ~$15/month, $17 if you'd include a CC(which would be only the break even point for you renting from Comcast). I really like my Tivo but I can see if savings would be a main concern it may be hard to justify

You cannot buy your own STB and expect it to work. The cable company will not activate it if is not one of theirs and you will end up buying a brick.
You really have very few choices -- you are subscribing to a digital cable service and their service is closed, not open. With the recent FCC ruling, clear QAM will become a thing of the past -- everything will be scrambled and you will need a device that supports cable card in order to get anything from the cable.

As jjeff pointed out, if you don't want to rent, your purchase choices are pretty much down to TiVo or HTPC with cable card tuner -- neither of which is cheap; HDTV comes with a premium these days. TiVo is the most user friendly and easy to use out of the box. It has a high up front cost that will break even with the DVR rental in 3-4 yrs. If you are willing to jump through hoops to record and are willing to set manual timers without guide service on multiple devices, there are other choices but they still require you to rent an STB from Comcast. HD cable service has become considerably more expensive, very quickly and only promises to get more expensive with time. The market is saturated, they can't increase market share so the only way to "grow" their business is to extract more money out of their existing customer base by selling you new services you may not want and charging more for those you do.

PC route can be considerably cheaper if you aren't starting from scratch. For example, if you already have a decent PC and an Xbox, you can get a cable card tuner for about $50 per tuner (i.e., $100 for 2 tuners, $150 for 3, $200 for 4, etc.), or less if you buy used. If you have an Xbox, your PC doesn't even need to be connected to your TV at all. My 4 tuner system works great and was fairly cheap since I bought everything used and took advantage of the hardware I already owned. All I really bought was the tuner, a cheap video card, a bigger hard drive and a couple of used Xboxes for $100 each. Now I have a whole home DVR in 6 rooms. All use a normal IR remote so the experience is the same as using a Tivo. My cable card rental is $2/month. I have no DVR or cable box fees whatsoever and get all my subscribed channels (HD and SD). I think Comcast may even give you a credit for not having a box. My remotes were $3 each from ebay, and I programmed them with JP1 software. Since I'm saving at least $40/month in DVR fees, my equipment costs will be paid for in less than a year.

While I would prefer a Tivo-like solution, the initial cost was simply too high for me. An HTPC system does take more effort and skill to set up, but it works very well and saves a lot of energy. My HTPC only draws 2-3 Watts in sleep mode, which it is in most of the time. That's at least another $5/month savings in energy alone over a single DVR.

You may also want to consider switching to satellite, at least in the short term. New customer deals are very good and DVR's fees are generally lower than with cable. Dish is probably the best bang for the buck at $10 for the first DVR and $7 for each additional. DirecTV is substantially more since they charge an additional $10 for HD. They also have the fewest HD channels (not counting sports). These days it pays to switch providers every couple of years.