Apple will include them in the shipping box if you take two seconds to click and select the one you need on the AppleTV page where the accessories are listed right next to the product.
Most of the cables it *could* come with (e.g. HDMI, component video, toslink) are not cheap and also not manufactured by Apple. The result is that in order for them to include products made entirely by a third party, repackage/rebrand them as Apple and include them in the AppleTV packaging would cost more than you buying the cables separately because the costs of wholesale purchasing, plus repackaging, plus rebranding, end up adding to more than the cost plus margin of you buying it direct from the same vendor.
And audio/video cabling in particular gets really ugly with cost because most often the vendor doesn't even MAKE the cables. Most cabling companies buy the interconnects and the cable, solder them together, repackage and rebrand. So even buying direct you're already paying a huge markup... and you want to pay an even bigger markup?!
Cabling is the last thing you'd want packaged in with any product for this very reason.