If using component cables and you have multiple component connections to make it can help to simplify wiring.
IE: DVD, HD-Cable, X-Box all go into your receiver w/audio. Then put your TV on component 1 and leave it there. When you want to switch viewing sources you only change the input on the receiver.
My experience is that no signal loss or gain is perceptable running everything through the receiver vs. running it directly to the TV.
Some receivers also offer on-screen displays that are available through the component output, such as volume level and setup menus.
Not required, but can be convenient, the final choice is yours.
