This article is from the rec.audio.* FAQ, by with numerous contributions by Bob Neidorff others.
A fundamental principle of physics is that the farther a signal
travels, the more the signal will be degraded. Translate this
to mean that the shorter the wire, the better. Understanding
this, the idea of running speaker cable between every room of
the house isn't as attractive as it first seems.
If you still decide to wire your house for sound, you should do
it at the same time you're wiring for telephone and electricity.
It is possible to wire a house after the walls are closed, but
it becomes very difficult.
It is economical to use common house wire (Romex, UF, NM, etc)
for speaker wire in the walls, but this may violate building
codes. Check with an electrician or inspector first. It will
also confuse future electricians, so label the wire clearly, all
along its length.
If you want to make your house like a recording studio, it is
best to use the techniques of recording studios. When studios
run long lengths of sound cable from one room to another, they
drive the cable with 600 ohm line amplifiers. They also use
shielded, twisted-pair cable. They only connect the shield at
one end of the cable. Finally, they use balanced inputs at the
other end of the cable.