The new systems are pretty nice nowadays. They are pretty much 'plug and play'. A friend of mine got a sony DVD system for Christmas, and the set up was extremely easy. The speakers were color coded for front, rear, and the sub.
If you are going to set up different components, like a receiver, DVD, xbox, CD, tape player, etc., the set up can be more complicated but still not very hard.
I would advise on a s-video cable for the picture and either a coxial cable or optical for digital sound. It allows for better transfer for a more crisp sound.
I have a receiver with Dolby Pro Logic surround, digital cable, ps2, and CD player and love watching movie when the sound surrounds you.
I'm jealous. I'd love to have a TV like that.