Well, you pretty much have everything set for high-quality visuals if you're getting a DLP HDTV and component video cables. For audio, you'll have to get a surround sound reciever and speakers. Make sure the reciever supports AT LEAST Dolby Digital 5.1, DTS and Pro Logic II. You may want other things like 6.1, EX, THX certification, etc., but they aren't as vital. Also make sure your speakers match and can handle the power the reciever will be sending them. Unless you've got a lot of money to spend and want the best possible, you're probably best off buying an A/V reciever + speakers package.
Also note that many audio recievers also double as a hub for video signals (hence the V). Only really high-end A/V recievers boast the Ability to handle a progressive scan signal. If your TV already has enough component video inputs for your needs, don't bother with these reciever models unless you want the high-quality sound as well.
Yes, all DVDs and current console games run at 480p, not 720p, though we'll probably see more 720p next generation. I would try to find a TV that handles both 480p and 720p well. I'd imagine a DLP would be up to the task.