HDMI from the receiver to the TV, unless you're talking about getting audio from the tuner in your TV to your receiver, in which case it will most likely be via optical from your TV to your receiver.
If you're wanting a new disc player, I'd just go with a Blu-ray player. Then you can play Blu-ray, DVD, AND CD. Granted, I've never heard the über-expensive CD players, but I just don't see how they're going to sound appreciably better than a more reasonably-priced player, especially if you're sending the information digitally. I'm happy with both my OPPO BDP-83 and PS3 Slim. I play CDs on my OPPO simply because my pre-pro can't apply any of the matrixed surround modes to the stereo signal that the PS3 outputs for some reason.
As far as making your own speaker cables, it's not hard at all. I use banana plugs on my own simply because I like how it looks, and it's convenient since I do a lot of unplugging/replugging, but if you don't anticipate doing a lot of physical reconfiguring, there's nothing wrong with bare wire.
