I did this to my house this winter. Nice winter project because the attic wasn't too hot.
For parts, I used Parts Express www.parts-express.com, Amazon.com, the local Lowes, and Craigslist.
Parts Express has a great print catalog and the cheapest prices on most items like trim plates and whatnot but shipping will eat up savings on the onesy twosy orders.
Amazon.Com had some great deals on some items, and as a prime member, it was nice to be able to get the one or two "oh crap" items I needed on a weekly basis during the project shipped for free and in 1 or 2 days.
The local Lowes actually had better prices on boxes of Cat 5 and some trim plates than Parts Express or Amazon so I bought from them. I used the Amazon price checking app on my phone to comparison shop.
Craigslist was a great help for the actual hardware. Used electronics depreciate quick, and its nice to be able to try before you buy. Also, shipping on big things like used speakers will kill a lot of "deals"
I mounted my 50" Samsung plasma screen on the wall using a Sanus tilt mount. I had a friend come to help me, that thing weighs something like 105 lbs. Its lag bolted into the studs, not going anywhere. I mounted my center channel on the wall below the TV.
Everything in my house besides the TV and speakers is put in a closet near the garage. I have a Belkin PureAV power conditioner in there running everything. There is a separate romex running from the PureAV to the TV. This way I could add an outlet behind the TV myself and still be code legal and keep the TV on the same ground as everything else to eliminate ground loops. Also in that closet is my AV receiver, my cable boxes, cable modem, PS3, and a router. I control it all with a Logitech Harmony 1000 remote with a PS3 adapter to run the PS3.
I installed a large 12 hole breakout plate in the closet for all the Cat 5 I ran. There are 2 drops in every bedroom, 2 drops on the back wall of the living room, and 3 drops behind the TV. One for data and two for an HDMI over Cat 5 balon. The PS3 is also hardwired on the network. I ran HDMI over Cat 5 to the TV and also ran component cables for legacy items like a 200 disc DVD changer I have.
Speaker wiring was easy once we decided where to place the speakers. The center channel runs with the HDMI and component to the TV. Left and right are mounted on the walls where the left and right speakers go. In the rear, I ran everything to one point which greatly simplified the installation. You can't see the wires because they are behind furniture and do not cross any doorways, windows, etc. I ran a set of preamp cables in back as well as a set of high level speaker wires for the subwoofer because at the time I was unsure of where the amp would go for the subs.
The only hurdles I ran into was with the Logitech 1000 remote and with the AV receiver. The Logitech remote requires a pretty computer/logic savvy person to get it configured and get all the macros/RF commands to work. Once I got it dialed in, its been great. It needs to be charged once a week, no big deal. The AV receiver is an older model without an onscreen display so I had to program it to do most operations via macros on the remote. Not hard, but very time consuming. The HDMI over Cat 5 works flawlessly, but get a powered adapter. The one I had initially was unpowered and would sometimes drop audio over the 40'. The powered one is flawless.
I use a jailbroken PS3 for my media center. It works great. The interface is smooth, it plays streaming videos off my workstation perfectly and in HD. The real bonus was that the PS3 controllers work at this range so I can still use it to whip out the occasional game of Pipe Dream or Super Mario World.
Future plans call for adding another PS3 and on-network TV into one of the bedrooms, networking my printer, and adding whole-house speakers. Right now I just crank up the living room speakers, but not all my neighbors appreciate Daft Punk at full jack when I am cleaning the house at 7AM on a Saturday.
Really though its gonna be how you wish to use it. Plan it out, prepare for the future, and shop around and you should be good.
I would stay away from wireless anything if you have any other option. The sound quality is not as good as wired, its always going to be flakey and susceptible to interference, and is a sure sign of a sub-par installation. Since you are in the planning phase, now is your chance to do it right.