I did drop about $20 on a couple of Y-connectors and a bit of audio cord. Why? You see, the HDTV of mine has audio outputs for surround sound, which works fine for the TV, regular video and S-Video input. But not the component inputs. And the PS2 is running off one of the component inputs, so it doesn't go to the surround sound.
Wait, rephrase. It DIDN'T, but now it does. Playing video games is much more fun in 5.1. I'll probably try finishing Fatal Frame 2 sometime soon, to really test it out. :P