A few things. Let me get this out of the way up front: PlayOn questions should probably be directed to PlayOn's support forums. The relationship between PlayOn and Roku is ... "strained" would be an understatement. Many a thread gets locked on account of that topic.
On to the other questions...
The $49 Roku LT offers composite out. That's the red/white audio and yellow video. Many older tube TV have the RCA jacks for that; more likely than component or HDMI. So, LT would actually be the cheapest way to go.
Content? Tying in an antenna for OTA isn't easy or necessary. Use the composite inputs for the Roku and antenna in for an antenna. If you don't have composite input, you'll need an RF modulator (Radio Shack, Best Buy, Sears, etc) for that.
Amazon Instant Video might be the best way to get current content on a Roku outside of Hulu Plus. Most of the content is pay as you go (PAYGO). Figure $2/episode for SD, $3/episode HD. You can get discounts (5% usually) by purchasing a Season Pass. Older seasons cost around $1.60/episode SD, but that could vary.
Hulu Plus offers a lot of content for $8/month, but you can't watch Hulu standard (the free stuff) on a Roku, or any other set-top box (STB) without violating Hulu's terms of service (TOS). And, that's not so much a Hulu thing as it is the content owner (ABC, Universal, WB, etc) restrictions.
As for saving money, I went from around $60/month for basic cable to $16/month (Hulu Plus, Netflix), with additional PAYGO content from Amazon and other similar providers. No, I couldn't get everything. Nothing gets you everything you have today.
I don't watch anything live on Roku. For breaking news, I use the Internet or will watch a live broadcast OTA. Others can recommend channels from the Channel Store or private channels that offer live news feeds. There is a 9:00 am - 5:00 pm Fox News live feed on the Fox News Channel app. NBC also has some channels, but don't know about live feeds. Again, others may have suggestions.
Check out http://catastrophegirlsrokuchanneldata.blogspot.com/for
a listing of private channels, plus tips. Another good one is http://streamfree.tv/
If you go Roku (I did and am happy), it will change how you watch TV. For me, it was a change for the better.