You can get "keystone" type faceplates that can take a number of connectors with standardized snap-in mountings. I have one of these on the back of my cabinet... see my site for a pic.
An electrical junction box like Abelard suggests is a nice touch but not really necessary... my faceplate is screwed directly into the MDF. My faceplate has connectors for Ethernet, left and right audio out, and RF video in.