If you dig around, you can usually find ON and OFF commands for receivers. I include an ON command in every device selection button and have a "Room OFF" button that shuts everything down.
DVD and Blue-ray players often do not include ON and OFF commands, but PLAY will turn ON the power if necessary. For these devices I'll synthesize an OFF command with PLAY-(wait a second or two)-POWER. This will always leave the player powered down.
Cable boxes are surly and rarely offer ON or OFF commands. I do not include any power commands for cable boxes in my programs and I instruct customers to leave the cable box ON at all times. This will initially annoy many customers because it seems like a loose end that is wasting power. I counter this by pointing out that the cable box is never completely OFF -- otherwise it could not respond to remote commands. The cable box's power command simply turns off the lights. This works well until a house guest manually forces the cable box OFF. Several times during my presentation to the customer I mention that this glitch will happen and how to handle it. (force the cable box ON) Sometimes (a year or two later) I'll get a call about "can't see cable", but it is a one or two minute call while I remind them about the cable box power drill.
As others have said, it is possible to sense the cable box status, but this requires additional "boxes" and some ProntoScript. After I explain the drill, virtually all of my customers skip the expense of cable box power sensing. For some of the hard core "I can't deal with tech" types, I don't have this discussion and I simply include the sensing.
