How Are You Running Av/hdmi Cables Behind Dry Wall From Your Flat Panel Tv To Your Receiver, Dvd Player, Etc?

Do you just create an opening in the dry wall enough to put the cables through and send them through and out from below? I have to run HD av cables from the tv to receiver and an hdmi cable from the tv to the dvd player behind the dry wall.
Or do you install some type of junction box put the the cables through?