Best connection: composite, digital coax, toslink?

You don't specify what outputs and inputs you have. But in general the Sat should have a toslink so use that for it but be sure to hook up the analog RCAs also. The CD player could have toslink or coax but the receiver may only have one or the other. Most cases use the coax for the digital but hook up the analog RCAs also. Do the same with the DVD player and make sure you set the Denon to Auto for the input type. It will automatically choose the digital input most of the time. But you can switch to analog if you want to just to compare the sound.

Thanks! Great idea!

I agree with the above!, that denon a killer unit! make sure you use some awesome cables like from Nordost, i got the 5800 and i cant belive how it compares to some big buck units!try to use all component for your video, for get composite picture is terible.