These is an area where there are many solutions. YOU get to pick what works for you.
In short, running A/V to some central component may be so that you can control/select all A/V with one remote. Or that you can use some recorder to record something while watching another channel.
I usually find it useful to sketch out the wiring on paper so I can visualize what can be done.
I am fairly new to the home theater experience and just purchased a Sony 51" KP51WS510 HDTV and have also purchased a Sony DVPNS425P Progressive scan DVD player. I have digital cable as well as the HDTV feed and everything is hooked up with the Composite cables. Why would I want to run a video source through the receiver? Is there an advantage to this as opposed to just running the audio into the receiver? I guess I am confused why the video goes through an audio source and then to the Television and not running the video directly to the TV like it is now? If you could explain this I would appreciate it!