How does this compare to the GoPro HD Hero Naked? What's the difference?

You got it. Just comes with different accessories. I recommend getting a chest mount too! Much more stable than on your head and a cool different view.

I'm going to (at least partially) answer my own Q. After comparing http://www.goprocamera.com/index.php?area=2&productid=33 and http://www.goprocamera.com/index.php?area=2&productid=29, it looks like the Helmet Hero and the Hero Naked are identical except for what they come packaged with. Both contain the following: 1 HD HERO Camera (5 megapixel) 1 Rechargeable 1100 mAh Lithium-Ion Battery 1 Waterproof Quick-Release Housing (180’/60 m) 1 USB Cable 1 Component Video (HDTV) Cable 1 Composite Video + Audio Out Cable Warranty: One Year The Naked comes with 1 Curved, 3M™ Adhesive Mount while the Helmet comes with 2 Curved, 3M™ Adhesive Mounts And the Helmet contains the following (but the Naked doesn't contain any of these items): 1 Headlamp-Style Head Strap 1 Vented Helmet Strap 2 Flat, 3M Adhesive Mounts 1 Three-Way Pivoting Side Arm Assembly Maybe there are other differences, but I didn't see them on the site.