Not the easiest thing to setup mate, but hopefully i can give you an idea. First thing is cables, do you want everything to be in HD? If so you need HDMI cables, dont worry about the cost as there is such an insignificant difference IMHO between the cheap and the expensive. If not then the second best would be optical cables and then the most basic is scart cables.
You have to ensure you will have enough inputs, on the surround system so you dont have to swop cables all the time. So two HD inputs and 1 output would be sufficient if you have Sky HD and a PS3.