What I have done is to run the component video from my DVD player and from my cable box directly to the TV. To let me look at the receiver's OSD, I run a separate video feed from the receiver to an additional input of the TV (S-video in this case, because it is just for the OSD). So, if I really want to see the OSD, I just have to switch the TV input (which I can do using either the TV remote or the receiver's remote).
It probably doesn't make any difference to the video signal quality, but I like the straight feeds to the TV, and my TV has plenty of inputs. Also, other family members can just use the TV by itself if they don't feel like powering up everything else. As an aside, I also run the cable coax to both the cable box and directly to the TV, as the direct feed is a little cleaner looking for the analog cable channels that don't require the cable box. I am basically only using the cable box when watching HD channels.