I don't understand quite what you are thinking of doing for your "other cables like TV power cables and component cables...". Your TV has a plug, right? The plug fits into an outlet on the wall, yes? Were you thinking of cutting the plug off, running the power cord into the wall, then splicing it into the home's electrical system? I can't imagine this is what you are thinking -- it is very very wrong, dangerous, and seems obviously stupid too (how would you move or unplug the TV for repairs, cleaning, selling your house, etc?).
If you have mess of wires running from your entertainment center to outlets and cable TV jacks elsewhere in the room, then you can remedy it by just installing outlets and cable TV jacks nearer to your entertainment center. Just install the outlets (or have them installed by an electrician) directly behind the entertainment center, use some twisties to bunch up the extra lengths of cords, plug them in, and forget about them.
As a basic rule of thumb: no cable of any kind should ever pass through a finished wall (ie. from inside the wall to inside the living space). Instead, the cable inside the wall always ends at some kind of outlet or jack mounted on the wall. An exception is half-ass cable TV coaxial installations, and half-ass phone installations.
As for your nighttime reading lights, either mount a box in the wall where you want the light to be (using normal romex inside the wall), fix the light right to the box, and make the connection inside. Or, use a simple plastic sleeve of some kind to make the dangling cord look nicer. And in both cases, make sure the light is fixed securely to the wall.
-Kevin