I just got my HD cable box hooked up and I need to know what to connect it with. It only came with standard AV cables. I know it's best to get high quality cables, but is HDMI better than AV? I have no idea what HDMI even is...

The short answer: It depends (I'm not sure what you mean by standard cables, if it's YRW, then yes, HDMI or any other digital cable like DVI or composite are superior).

The biggest benefit to HDMI is it's a single high quality digital cable carrying both audio and video. The downside is it's expensive. You can find deals on them on the internet that put them at about half the price of stores like BestBuy or Circuit City. The AR PR-185 is a prime example. $100 at BB, under $40 at Amazon.

If you can use HDMI, then do because it's simple -- and don't buy the HDMI cable at Best Buy (and don't ever buy Monster cables - they're a ripoff).

Buy your cables here:
http://www.bettercables.com/

or here:
http://www.bluejeanscable.com/

You can use component video cables as well (red/green/blue).

You can make your own cables if you're feeling adventurous. It's not that hard, really. You just need some RG6 (or RG6QS) cable and some connectors, along with a compression tool and a wire cutter. Just make sure to make all the cables the same size. I did that with the component cables I ran in my walls (as well as my subwoofer cable) and it worked great. I can give more info on this if it's something you want to do. If you don't have the tools, and won't have a need to make cables in the future, it's probably not worth it (I had the tool from wiring my house for DirecTV ).
CW

The following list goes from best to worst quality (yes you can mix and match)
Video
HDMI*
Component video
S-video
Composite video (aka AV or RCA)

Audio
HDMI*
Digital coax**
Toslink/fiber optic**
AV or RCA

*I think HDMI sends audio and video signals. Someone correct me if I am wrong.
** Some people believe fiber is better than digital coax

Couple of other notes: Depending on the length of cable you need, HDMI can be pricey (see Fez's note no matter which cables you decide to go with)
Lastly, make sure your video display (TV, projector) and audio system is good enough to pick up the difference between HDMI or the other alternatives listed above.

Thanks. After looking around at prices and everything I think I'll will go with HDMI. Thanks for the links, if I hadn't known I probably would have just run up to Best Buy!

I am having issues with my HDMI cable. I can't remember where I got it from but it's failing. Funny thing is, the cable guy recommended that I only buy Monster Cables.

Off-topic: Home Depot's Cat5e cable is a lot less expensive that that at Micro Center, BB, CC etc.

HDMI Cables go here: monoprice.com