Regarding the connections, it doesn't matter. You can go for digital or analog. Try both and see what you like better. Digital will result in less cable clutter and cost and should sound about the same, seeing how they're both NAD components, just in one situation the DVD player is doing the D/A conversion while in the other the Reciever is. For digital, either a single 75-ohm coaxial cable with RCA terminations or a Toslink cable will work. For analog, you'll need 6 RCA interconnects.
For brands, I'd recommend something from
Blue Jeans. These aren't the cheapest, though nowhere near as expensive as BS stuff like Monster, Nordost, Transparent, Shunyata, etc. These are studio-quality cables.
Another option is
Impact Acoustics. They also have good prices and an Audioholics discount.
Ram Electronics is another good option with good prices.
You'll also need some component video cables (I would assume you have an HDTV or a projector to utilize the quality of a good DVD player). Any of the above mentioned companies can supply you with good video cables as well. Blue Jeans and Ram both offer custom Belden and Canare cables with Canare terminations. I believe Blue Jeans is a little less expensive.
As far as what to buy next, that really depends on what you want, what you already have, and what your budget is. First of all, what kind of speakers do you have currently? It's always a good idea to timbre match at least your front 3 speakers, if not all of them. This will result in consistent sound when the soundstage pans around them.
What is your budget?
How big is your room?
Are there any other factors (like a wife) that would affect your purchase?