I definitely recommend wall plates. They give a finished look, and they make it easier to make connections.
Once you get the hole cut in the wall and a frame in place (I used ones like
this - you just pick the size that you want), you can select any number of wall plates. Two examples are
plates with binding posts for speaker wires and
plates with open holes to let you pass any type of wire that you want. There are also plates with RCA connections, HDMI connections, and others. I bought mine at Parts Express back in 2008, but now Monoprice carries them - and I think that they are the same product. You can get them at a number of places. Several of us have shopped for and installed them, so we can help you out when you're ready.
Here's a picture of some of mine: