What kind of wire is best to use, plain insulated or coax with the outer covering removed?
At these voltages the insulation is probably doing something other than insulating. My guess is that bare wire would work, but insulated wire or coax gives you a bigger collection surface (and reduces the electric field which would tend to drive your charged particles away). Then the voltage builds up enough that the current leaks across the insulation to the center conductor. The resistance across the insulator would be small compared with the air resistance, so it might not make a difference in how much power you got at the output (though it would make a big difference in the percentage of what you got from the air went to warm the wire rather than flying away downwind again).
If you want to experiment:
1) try CoAx first. Pull from the center with the shield unconnected,
2) then pull from the shield.
3) then tie them both together and pull from that.
4) Then remove the outer "guard" insulation and pull from the center with the shield unconnected,
5) then pull from the shield.
6) then tie them together and pull from that.
7) Then take it down and string an insulated wire the same diameter as the inner conductor and pull from that.
then pull the insulation (or string up an uninsulated wire of the same guage) and try that.
With all wires the same length and nothing else nearby. (Actually hang them one at a time, taking down the old wire when hanging the new one, rather than hanging 'em side-by-side.)
Ideally you should do this in identical weather conditions - which would be hard to guage. In practice you could probably do the groups (1, 2, 3) and (4, 5, 6) within minutes of each other to compare the configurations within the group.
The other possibility, of course, is that the "must be insulated" he was talking about was "insulated from ground", i.e. good high-voltage insulators at all supporting points, and that got garbled in the retelling. (Doesn't match the claim of using an old cable TV drop, though.)