If you haven't purchased a projector yet, then it's VERY important that you do some homework before making the purchase if you want solid quality for your home theater.
Projectors act like monitors. They have video inputs, and most home theater projectors will have at least one of all the major inputs. This includes composite video, s-video, component video, VGA, and HDMI.
Generally, that's also the order of worst to best connection type to use. But, if you are hooking up a system for HDTV, then you must use component, vga, or hdmi - and hdmi is the connection that would generally be most recommended.
Audio must go into something other than the projector.
Generally, someone uses a AV receiver, and then runs HDMI into the receiver, and the receiver pulls off the audio and passes the video onto the projector.