How long is long? How short is short? I suspect you are dealing with distances which will make this a non-issue.
I faced the same dilemma with a front projector behind me and three amps up front.
Although I concur with the statements already made, I opted for short DVI/HDMI cable to the projector and long interconnects to the amps. Thankfully, my Krell HTS2 processor and Krell amps all have balanced in/ outs on XLR's, which makes the long audio runs a non-issue.
If the setup is primarily for home theater, I'd say prioritize the picture and keep the video runs relatively short. If the setup is primarily for audio, I'd say do the opposite.
If cost is not a factor and you want it all, do what I did and keep the video short and use longer balanced audio runs... just bear in mind that limits your choice of processor/ amps to the more expensive variety.