Just about any HD set-top requires the same connections to your HDTV; video, audio and control. If HDMI-CEC actually worked as it was intended, then this would mean one cable, but were not holding our breath. You can still use HDMI for two of the three, but you're going to also need a way to control the box from the comfort of your couch. The most universal way to do this is with an IR repeater. With this you can use just about any remote you want and you aren't limited by the range like other wireless technologies. This isn't usually a big deal since you already have to run at least one wire for the video and audio anyway, but it does cost extra.
Since IR is the De facto standard when it comes to home theater control, we'll start there. Like most things HT related, to relay the IR signals you can spend as much or as little as you want. But no matter what equipment you use, you're going to need some wires so we like to use a CAT5 cable, but any data grade four conductor cable works -- IR repeaters only need three conductors (ground, +12, and signal). Other than the wire itself, you need at least four pieces of hardware to relay IR; the receiver, an emitter, a connecting block and a power supply. We surfed around a bit to find the least expensive options, which come to about $80 without shipping or tax. You might not be able to get by with these though because depending on the type of TV ( and other light ) you may have to buy one that is to light from an LCD TV (for example). These specialty IR receivers can really get up there in price and in some cases cost as much as $150. But even in our example below, the receiver was the most expensive price of the lot, amounting to over half the cost of the entire IR repeater system -- although this one does include the IR block. But even if you have a typical TV, you might not like the inexpensive IR receivers because they don't fit your decor. Luckily these things are pretty universal, so if the one you like is not the same brand as everything else, it will usually still work.
Xantech IR receiver with a block for $48 at Parts Express.
Connecting things up is pretty simple, the blaster plugs into the block like a pair of headphones, but you'll probably need some wire strippers to extend the wire with a CAT5 from the receiver to the block if your extending to another room. Once you power it up, you should see the LED indicator on the receiver light up when you use a remote and the emitter will usually flash too, but you can buy ones that don't if you prefer.
Mounting the emitters can be tricky on some equipment. We find that a flashlight makes it easy to see where the equipment's IR receiver is located. Sometimes even when the flasher is properly placed, some equipment doesn't work well with emitters. One trick we found with regards to the 360 is to take off the removable face plate and then mount the IR receiver underneath it. This is also nice because when you put the face plate back on you can't see the emitter -- it doesn't matter much since it's in the closet where no one can see it. You can also try different emitters and even blaster type emitters depending on the application.
IR parts list
IR receiver $48
IR emitter $15
Power supply $17
Component or HDMI?
For video and audio, you have a few choices as well. HDMI is nice because it caries both video and audio in one cable and is pretty future proof, but you can also use component, which makes sense in some cases -- you'll need to run wires for both audio and video though. Component will usually be cheaper and if you want, you can even make the cables the exact length you need since it is possible to terminate them yourself.
Long HDMI cables from $25 to $100
Long run component cables from $10 to $50.
In either event, if you stay under a 50 feet, you should be okay with just a simple cable. If you need to longer though, you'll find that not all AV components are created equally and you might need an repeater in-line to deal with attenuation. If you're going HDMI, as most will, then you have a choice of either using a set of baluns that carry the HDMI signal via a pair of CAT5 or fiber cables, or you might just go with a more basic repeater. Baluns are preferred but way more expensive (at least four times as much starting at $100), so it will really come down to your equipment and how long your runs needs to be. We could write an entire other post on the options for extending HDMI, and who knows maybe we will.
HDMI repeater from Monoprice $25
Depending on how much of an obsessive disorder you have, you may want to get some connection specific wall-plates. Some say you're just asking for trouble inserting additional connections into the equation, while others just aren't down with using blank wall-plates with a hole in them. Either way, you need to have something to finish off the holes where the wires are coming through. So no matter which you choose, you need to pick up some retro-fit low-voltage brackets and a simple dry-wall saw.
As you can see this isn't as cheap or as easy as it should be, but it's totally worth if you are a wall person -- you know everything has to be mounted on the wall -- or you want to use an Xbox 360 as an extender for Media Center but you can't stand the noise of the fans while you watch TV. Honestly all of this is usually the easy part as the real work is running wires. Either way this should be enough to get you started on your way to boxless HD bliss.