Use HDMI, DVI, or RGB (digital connections). I used to use component cable for my hdtv receiver and after changing to DVI noticed that the channels changed a lot faster. I had my receiver to output 720p and when it was component, I think the analog connection slowed the process going from 1080i or 480p to 720p. The screen would go black for a second until video would show. The DVI cable got rid of this. Also, if you use HDMI you will not need to worry about audio connections. HDMI can handle digital video and audio.
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So if your satalite receiver has HDMI, I recommend using it.