OK, thanks for the information on the TV input modes I was bale to determine that the HDMI input on my Sonny TV was Input #6. I then set the TV/Video input to 6 and now I am getting the video and audio signal from the HDMI cable. It works perfect and I do notice a sharper picture and better sound quality with the HDMI. While I was doing all of this I had to move my receiver around and the satellite signal would be lost. I checked all of the cable connections and found most were not even hand tight and some were barely screwed in at all. After tightening them no more signal loss.
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Glad it was a simple solution for you! I recommend you keep those component connections and possibly even the composite ones (S-video or not) just for comparison. Most folks do see a difference between the analog and digital HD connections, but it varies considerably as to which they prefer. In my case I find the digital a bit sharper - apparently the same for you - and the analog a bit "warmer" with more color depth. The difference varies considerably with the program content. My Sony take several seconds to switch every time I hit the Input button (and this is step-through sequential vs. direct access, one of my few complaints with the Sony!) so it takes too long to make a direct comparison of input 5 (the component connections) and input 6 (the HDMI connection). My Sony has a "Color Palette" adjustment that I might use to good advantage on the digital HD signal, but I never got around to experimenting with it. Maybe yours does as well.
If you leave your component connection intact you will have it in case the HDMI output is ever lost for whatever reason. Make sure you don't wiggle the HDMI plug unnecessarily, and don't have the weight of the excess cable dangling from that plug! Also make sure the 622 gets plenty of ventilation. These steps can help prevent you from experiencing the "all too common failures" of the 622 I mentioned in my first reply.
Also, regarding the S-video/composite connection (input 3 on mine), check that one out if you're watching an SD program through your HDMI or component inputs and they look really crappy. Sometimes it looks better on the SD outputs of the 622.
Good luck with your new "toy" - I'm sure you're going to really enjoy it...!