As jk1002 writes, you have several options.
DVI is the video portion of an HDMI-signal, and is usually preferable to component.
The AppleTV outputs audio both in analog and digital form through the minijack OUT port in the back, that audio is synchronized with the image. If you want multi-channel playback (which is available for HD-movies) then using the optical out is a good option. You'd then need an optical s/pdif to coax s/pdif converter.
Have you checked the audio OUT settings in your AppleTV? Are they set right for what you want to do?