You will need to make an audio connection of some sort. Depending on the player, you will want to either use optical/coaxial or multichannel analog. A few newer players will decode the new audio formats internally and output them as analog (Panasonic BD50, Sony S550, a couple of upcoming Pioneers, and Denon's big expensive one), and for those you'd be best served to use the multichannel analog. For other players, the optical/coaxial route would let you hear the core DD/DTS tracks contained within the new format bitstreams.
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gonk
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