A quick answer, then Ill defer to others more knowledgeable for details.
A HDD/DVD recorder will do what you want to do it will record from Sky, it will play DVDs and CDs.
Take a look at Rasczaks buying guide as a start.
If you are looking for the best quality playback and music systems, generally you can get better quality with having a separate DVD and CD player (as well as a recorder).
You could always start with the recorder, and later add a DVD or CD player if you wanted to improve that part.
Mark