You put in your zip code during setup and it will pull data for the universe of channels you can likely get. From there, you'll deselect the ones you don't receive or want to show in the guide data.
Yes, you can record up to 4 shows with the single antenna feed. The tuners in the Roamio are split off the incoming Coax feed from your antenna.
I initially set my Roamio basic up using the zip code guide data and it was dead on from what I remember. I have since switched to a CableCard from Comcast and once going through the setup again, it's now using the guide data for Comcast programming. Interestingly enough, the Season Passes I setup under the OTA antenna for the most part migrated on their own to the proper channels once I installed the CableCard. It was intelligent enough to know the network mappings as well as recoding on the HD feeds where available.
I know the payback period is at least a couple of years vs Comcast HD box, but it's such a better experience and not getting hit with an HD Tech Fee as well as $17 per HD TV makes it all the sweeter. Previously, we only had HD going to 2 TV's, now with the Roamio and Minis, I'm able to get full use of our other TV's in HD even if we only use them infrequently. Since you're ditching cable completely, a handful of months shoudl get you enough savings to cover the upfront hardware costs, even with a Lifetime subscription.