Your likely to want to access films and TV from a variety of sources. If you are using a smart TV, you may have everything you need to stream films, VOD (such as Netflix or Amazon Prime) built into the TV already.
You may also want a (UltraHD)BluRay player to watch DVDs and (UHD)BluRays.
You might use a separate box to receive satellite or cable TV, or want to use a Personal Video Recorder (PVR) to receive and record terrestrial TV.
If you are using a projector, you’ll need a separate box to receive TV and possibly a streaming device to access Netflix/Amazon Prime etc.
All of these devices can connect directly to your TV or Projector using HDMI leads. This way you will get the sound via your TV or projectors (usually terrible) built in speakers, or you’ll get improved sound by connecting a sound-bar to your TV. However, to build a proper home cinema and get decent results you should instead have your source devices running into an AV-Receiver.