First, if iPod (from your iPhone) doesn't play automatically, you should open it and play the song you wanna hear.
After that, make sure you selected the "Dock" from your home theatre system to make sure that it'll be producing the sound coming from your dock and not from your TV or blu-ray/DVD player or gaming consoles.
And finally, make sure the volume is loud enough for you to hear your songs.
For more iPhone / iPod touch tips, click here
. Feel free to comment on any of my tips if you have other questions.