The hard drive is used for many things:
Allows you to play original Xbox games (not all are compatible yet)
Allows you access to Xbox Live (with a broadband connection)- From here you can download demos (some playable, some videos) for free, download Xbox Live arcade games (retro classics & some orignal games, prices vary), download extras for games (extra levels, weapons etc) and of course play online with other people (there is a small yearly subscription charge for this feature)
You can also copy music onto it (and pictures from a digital camera). You can then have your own music playing while playing games instead of the games normal music. And also it's also a huge memory card!
As for the cable - this is to connect your 360 to a HD TV and get a high definition picture, or use the adaptor for use on a standard TV. If you have a standard TV though I highly recommend buying an RGB scart lead for the sharpest picture (the one supplied isn't RGB)
I think I've covered everything ;o)