It comes with hook-ups for a 360 composite cable (it's got a little RCA adapter thingee). You'll need a basic set of stereo RCA cables for an HDMI setup, which is what I'm doing now.
I run HDMI from my Xbox 360 to my TV, and then run RCA from my TV's audio out in the back to the headset's hook-ups. Since I had a spare RCA audio cable lying around, it didn't cost me anything extra.