How much of a difference with HD sound codecs?

I think the general consensus is that because BDs use higher bitrate lossy encoding than DVDs typically do, there is essentially no difference between the lossy and lossless versions (in blind testing). As much as I like my blue light to come on for the lossy soundtracks, I think you can rest pretty easy withoug making an investment at this time.

Is the higher bitrate lossy sound available from the coax digital output, or just HDMI?

I guess you meant lossless hd sound codec. It's only available via hdmi. To get a big difference in sound quality, you would need reference quality speaker with high efficiency sound delivery. You can checkout the speaker forum to get some idea on what other AVS'ers are raving about and better yet listen them in local best buy or the boutique home theater stores.

I think he meant lossy from BR via SPDIF.

lossy dts on DVD: 768kbps or rarely, 1.5Mbps
lossy DD on DVD: 192kbps to rarely 448kpbs

lossy dts 'core' on BD: up to 1.5Mbps typically (DVD can do that)
lossy DD in the companion track on BD: up to 640kbps typically but I've seen 448kbps

These can pass via SPDIF. But you are limited to 5.1.

There are other threads already asking about the differences between lossless and lossy scattered around AVS. We just keep repeating the same over and over. The latest (apart from this thread) is this:
http://www.avsforum.com/t/1433605/anyone-hearing-big-differences-between-dts-hd-ma-and-truehd-and-regular-dolby-5-1

Also worth noting: there's nothing "HD" about it in a typical Blu-ray because most BRs use 48kHz sample rate, the same in DVDs, and not usually what people would call high resolution audio (88.2kHz to 192kHz).

My own view is the difference between lossless and lossy is subtle (almost nil with dts) and more in the nuance than night and day differences and very much depends on content (speech/effects/type of music) and volume. Hence it'd be very hard to do proper trials or give generalisations.