1. There's no reason why you can't have component video going directly to the TV and audio going to the receiver. This is what I do (though with S-Video). You'll just have to make sure to set the TV & receiver to the right inputs.

2. As long as your receiver has Dolby Digital decoding -- and isn't merely Dolby Digital Ready you won't need a decoder in the DVD player. However, most of the upper-end players (ie. more features) throw Dolby Digital decoders in anyways. You don't have to use the built-in one, however, since they still include all the proper digital outputs.

3. If you want Sony (my choice as well) and don't need a decoder, the best you can get is the DVP-S7700. If this is a bit expensive, the current DVP-S300 and S500D are nice (I own the S500D) but Sony's announced brand new models with some handy features for late Spring release - the S330, S530D and S550D. The 5xx models feature built-in Dolby decoders, while the 3xx and 7xxx models don't.