Looks as if it's feasible to distribute RF over cat5/6 cable though I've never tried.
http://www.klicktv.co.uk/tv-and-vide...over-cat6.html
You would certainly need a balum of some sort at each end. Balanced connections work by having equal and opposite polarity signals on each of the 2 wires. Because they are in very close proximity any interference is induced equally on both wires and can be rejected at the receiver. An overall shield can give additional interference protection but this is far from essential in most applications.
The other requirement for RF is controlled impedance. The twist of cat5/6 is very tightly controlled to give a well defined impedance. The wikipedia article isn't marvellous but gives some idea of how it all works.
http://en.wikipedia.org/wiki/Twisted_pair
On a historical note there were a number of early TVs (more in the US than the UK) that had balanced antenna inputs which were connected by flat 300 ohm cable. Because the cores were so far apart and not twisted I would have thought that immunity to interference was poor.