Wired's How To recommends cutting two holes into the wall, one at the spot where the cables come from the TV, and one lower near the floor. This gives you a place to run all the wires. You also need to make sure that all the wires can reach their partner components. A quick and easy way to measure is to feed a weighted piece of string through the hole first, and use that to measure before you get started with cables.
Finally, get some help hoisting that TV to the wall, you're going to need some extra hands while you're getting everything attached. For more tips, check out Wired's Wiki How To with expert and real people advice.