What you "need" depends on what you have now, and what you might have down the road. In-wall wiring is cleaner, but it comes at an expense, especially if it's a retro-fit on already finished walls, not to mention you're supposed to run in-wall rated cables and such when doing so.
If you're dead set on in-wall, have at it. If not, you could use surface mount raceways, and with them have just about infinite flexibility down the road. They're not the most aesthetically pleasing, but they can be painted to match the walls and sort of blend in. Stuff like this -
Just be aware that the adhesive backed channels, once adhered, are adhered to stay....ask me how I know....LOL
For the audio/video cabling, forget RG-X coax, unless you just gotta have it. Component video + RCA or optical audio, or HDMI for both, or HDMI video and RCA or optical audio. Cabling also depends on your current rig, if nothing more than box + TV, HDMI would be the cleanest/easiest, assuming both box and TV are compatible. If you have, or plan to, go with a receiver or pre/amp set up for audio, that changes things.
If you have, or get, a HT receiver, they all pretty much have HDMI switching, the only variable is how many HDMI inputs they have. So, you could have a central receiver with HDMI in for cable, DVD, and game console of choice. Then you get the better sound along with video switching with only three cables run.