I've got a MyFi...one of the major factors with indoor reception is if there is an XM repeater in your area (a ground-based transmitter). A repeater sends a much stronger signal than the satellites, so that you can get service in areas without a clear view of the sky. If you can't get AM reception, then you won't be able to get a signal from the satellites, so a repeater is your only hope indoors.
I'm in an area without a repeater, and the internal antenna is pretty much useless. If the unit isn't facing south, you probably won't get service, (even outdoors) with the internal antenna. I have mine set to record O&A and some music each morning, so I can listen to that rather than mess with live satellite reception. I can get about 7 hours of recording time, since the talk channels are at a lower bitrate than the music channels.
Sirius has the NBA and NFL, XM has MLB.
Sirius is supposed to have a MyFi-like tuner out in June, with recording and MP3 playback.
edit...
The FM transmitter is pretty good (better than most of the "add-on" ones), but the highs still sound clipped. If you want the best possible sound, I'd go with the tape adapter (it comes with one), or an AUX input.