The National Electric Code has been adopted in all 50 states, but each state has the power to change anything it wants to. Thus you need to look up the NEC rules and any alterations or additions made by your state. Thus without knowing the state in which you live we really can't answer your question fully.
You may be able to find the code here: http://bulk.resource.org/codes.gov/
but the easiest thing to do is just call an electrician and ask. Many states require this work to be done by a license electrician anyway.
Having said that, I believe GFCIs are generally required anywhere there is water around (kitchen, bathroom, laundry), and AFCIs are required in bedrooms (considered most dangerous because that's where you sleep.) I don't *think* they are required in living rooms, which means you wouldn't have to use one.
And, having said that, I'll say that GFCIs are cheap relative to the cost of hiring an electrician to install one. $20 is a drop in the bucket compared to the $200+ you'll need to shell out to have it installed professionally.
As to extension cords, you are not supposed to use one for permanent installation. Permanent installation as I understand it, however, means closing it up somehow and/or left connected all the time. Thus I don't see why anyone would tell you not to use one so long as you aren't doing this. I don't see how stringing up an exposed extension cord to watch a movie is a problem. You are present the entire time power is being drawn, so if there is a fire you are there to stop it or make sure everyone is evacuated. (Make sure the extension cord is exposed and you unplug it though! Don't run an extension cord and then "close it up" in the ceiling! That's definitely a no-no!) I have my projector on a 15' extension cord and an automatic timer switch. When I want to watch movies, I turn on the timer. If I forget to turn off the timer, it automatically turns off 6 hours later removing power from the extension cord. The cord is not run through the ceiling, however. I feel perfectly safe with this setup.
I would be much more concerned if you wanted to use an extension cord to power some always-on or on-while-away device, but I am not an electrician so take that with a grain of salt. Don't blame me if you burn down your house with an extension cord. Instead, sue Home Depot for selling it to you.
Should you decide to use an extension cord, to make sure the PJ stays securely attached to the extension cord you can use a locking extension cord like this one: http://www.qwiklok.com/