It depends on how many ports you have. Newer TVs are finally coming with multiple HDMI ports. If you do not have more than 1 HDMI port on your TV, then it will depend totally on your setup.
Do you have a 7.1 surround receiver?
Do you have a Blu-Ray player?
Do you have a console gaming system?
What inputs do they have? What outputs do they have?
A quick example of my setup:
42" HDTV
7.1ch A/V Surround Sound receiver
HDTV Cable Tuner
Nintendo Wii
DVD Player
Blu-Ray Player
The Wii, DVD & Blu-Ray players all connect to the 7.1 receiver with component video cables and composite audio cables. The 7.1 receiver connects to the TV with an HDMI cable.
I keep the TV set to HDMI input, and the volume at 0. All input switching is handled with the A/V receiver.
note: there's zero difference between the cables you use for "component" and "composite" connections, just the color physically on the connector itself. they all work the exact same, only varying in construction quality.