1. Have you looked at this player: Yamaha DVD-C750? It is $329 MSRP so you can do better retail and you can find a review of it on this site in the pro review section.
2. I would suggest that you do indeed run the component video from the DVD player to the Receiver first then the TV, but with a caveat. If your new TV has DVI or HDMI inputs then you may want to get a DVD player that can utilize this. In that case you would have to bypass your receiver and go directly from DVD to TV because the 2500 does not have those inputs. The same is doubly true of your HDTV cable box. If it has HDMI or DVI outputs then run those directly to your TV for the best possible picture.
3. No, what this means is that the receiver is capable of taking whatever inputs you are using and sending them out via one set of component cables. What that means is if you were running a VCR with composite cables, an X-box with s-video, a playstation with composites, and a game cube with again lets say composite then what you would do is hook them all up to the receiver using whatever cable they needed, be it composite or s-video, and then run one set of component cables to your TV. The receiver will send the picture via those cables. You will still notice an improvement in picture/sound quality if you move up in DVD players. The Yamaha I suggested seems like a steal at the price, but look around for yourself.
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