A separate amp will let you run external speakers and so let you have better sound. If you don't have a separate amp, you're stuck to the speakers in your tv.

If you only have a small bedroom, it could be worth considering a sub/sat system. Much smaller speakers, but can still pack a good punch.



TV to AV amp is normally phono outputs fron the telly (unless it's lucky enough to have optical or digital outputs)

Edited to add, just seen part of thrush's post. Connecting through your dvd player may be a better opiton.