The antenna over the driver side is for On Star, there is a similar "black box" looking thing over the passanger side, that is the XM antenna if it is installed. You can get the factory installed XM set up off ebay or even from your local dealer, I did some research on it when I got my 03 last summer, it's around $350 and comes with everything you need and it's a GM part#.
03 04 05 06 07 Sierra Silverado XM Satellite Radio : eBay Motors (item 220174015357 end time May-06-10 18:33:18 PDT) I ended up just getting a plug and play Sirus set up, and vehicle specific bracket from crutchfield and used an FM direct Adaptor,
New Sirus XM FM Direct Adapter FMDA25 - eBay (item 260563656110 end time May-04-10 10:26:33 PDT) it's similar to an FM modulator, you set the station on your plug and play system and then tune your radio, but you will NEVER get interferance becuase it is wired directly inline with your antenna. I got my whole set up, Plug and play unit, boom box, home kit, and car kit for $60 on craigs list, plus another car kit, plug and play radio and FM adaptor for $15 off ebay. It's a clean set up, I can use my one subscription in both vehicles, the house and when were tail gating. Only down side is you cant change stations with the wheel controls, but for the portabilty and $200 in savings, I think its worth it. I can post some pics tonight, I was going to into another post but I lost the pictures.