HDMI cable sparks and shocked me
This is just equalization of voltage between the two isolated and ungrounded (thus floating) switchmode power supplies in your TV and PC.
It is not dangerous, since the chassis exterior of the connector will always connect first on all connectors where this could cause damage.
Unless you own non-compliant cables or somehow manage to contact the pins before chassis.
However, on some cheap equipment this discharge may cause some operational glitches.
This potential difference, usually around half of mains voltage, could be tingly for you. Especially if the leakage current of all connected power supplies adds up (eg: blu-ray + xbox + tv).
You have the GFCI to prevent hazardous circumstances on any equipment failure.
Coax is not guaranteed to be grounded, ask your service provider. Usually you have to provide earthing of the entry point yourself. If it is grounded, then yes, all devices it is connected to do have some &quot;&quot;ground&quot;&quot;. But the discharge will still occur if only one of the devices is connected to ground.

There seems to be some misunderstanding in the comments about devices that do not have grounding, eg: the device has a 2-prong plug.  These devices may have exposed metal for connectors, such as USB or HDMI, and these devices are not dangerous.
Standards dictate they may have some non-harmful limited leakage current, you may recognize these class of devices by double square symbol.

A device that does not have this symbol, but has a two-prong plug, are non-compliant and can be seen as dangerous.