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