Gray screens are very popular these days because they lower the black point and make the image appear with more contrast. They are also made with gain > 1.0 which can be suitable for DLP projectors.

If you buy a screen, the best advice is to take the advice of professionals. Da-Lite are very popular brand of projection screens.

The good thing is that you can buy your screen later (they are on order in various sizes). Many people are starting with projection on home made screens. They can be created from various building materials or simply on a matte painted drywall. This specially painted wall is probably the most cost effective way and you can still get good results (although always with gain < 1.0).
If you are going to use your wall for screen make sure it is perfectly flat and free of any imperfections. You can use fine sandpaper to flat the wall. Then you will need to paint it. Depending on the wall you will need to first prime it with white quality prime. The final paint is made with the quality most matte paint you can find in department store which is normally used only for ceilings. With good painted wall you can get better result than with cheap low-quality projection screen.

Receiver:
- you don't need receiver with too high power output. In a normal room you will still use it in low or mid volume since the movies are recorded with much higher dynamic range, than a normal music
- see if the receiver has the important decoders: Dolby Digital (must have), DTS (for DTS movies). Especially the "Digital" word is important which means you can connect the DVD and receiver using optical or coaxial cable. A normal Dolby Surround receivers are analog.
- if bundled with speakers choose the one which has active (powered) sub woofer
- don't buy receiver with build-in DVD

DVD
- on a projected big screen the quality of DVD decoder is suddenly very important. A brand name DVD and some cheap Asian brand will show quite difference in sharpness, color and overall feel which is not noticable on a TV.
- must have component video out (3 RCA connectors rgb)
- must have either coaxial or optical digital output (or both) same as your receiver input (some receivers have only optical so watch out)
- it is good if it has a video equalizer build in (JVC) You can manually set sharpness, color, gamma, but it is not necessary, (the projector has often similar settings)
- a progressive DVD player may not be necessary better - see the previous page for explanation
- what is necessary is so called "cinema mode". A normal TV black is not black but a bit brighter (such as RGB(7,7,7)). Many better DVD players have a movie or cinema mode where the color is stretched to full dynamic range, the black will become RGB(0,0,0) and the dark will become darker while the lights will stay bright. This is important to have for projector. Warning: Some brands (I think Panasonic) however may this very confusing. Their "movie" mode will make darks actually brighter! (The meaning is to able to watch a dark details of some noire movies on a TV)
So what you need is a setting (whatever it is called), which when used will make the blacks darker. Mid-class DVD players such Sony, JVC, Pioneer or Toshiba usually have this type of setting or "program mode".
The DVD players are competing in number of useless features, but what really counts is the ability to play DVD without glitches or stops and the quality of image. Things which are optional but you would probably never use them in your home theater are: MP3 playback (listening mp3's in your home cinema, how much time do you have?), JPEG playback (it is usually very slow), VCD playback (on a big screen this is a pain to watch), SVCD playback (handy, but the quality on a big screen is visibly lower than DVD, especially because of the lack off anamorphic 16:9 mode where SVCD has it letterboxed - thus in fact smaller than 4:3 full screen)

Cables:
- don't try to save on cables. Buy a quality thick cables and you won't need to replace them.