It is unlikely that you would be able to set-up a cheap server for what you wish to do, although I suppose it depends upon what you consider to be cheap.
The point is, you require bandwidth to run the services successfully and that in turn requires a reasonably high specification computer with the fastest wireless network cards. Keep in mind, although 802.11a (and g) support up to 54Mbs, this is the theoretical maximum, and the likely throughput will fall far short of that, particularly if there are a number of obstacles in the way. This is less than the now standard 100Mbs wired networks and falls considerably short of the Gigabit networks now coming on stream.
Audio is not so bad, but video is a real bandwidth eater and that is potentially your biggest hurdle. You can see this in video clips you may download and the sometimes erratic behaviour of playback.
This sort of multimedia is still in its infancy and until such times as some cleaver individual comes up with a way to either shrink the files further without quality loss, or open up the bandwidth through some cleaver electronic means, your stuck with relatively low quality and slow speeds!
Not an easy project!