Over the past year I've been working on a new shack in a new home. Though we're not yet finished, I thought I'd offer the approach I used to bring the coax/control lines into the shack.
My tower is a long way (450 feet) from the shack. I'm using 3 inch electrical conduit, at great expense...thank you very much, buried 3 feet underground. I ended up running 7/8th inch heliax to minimize losses at VHF frequencies. We brought the conduit up a few inches outside the shack. From that point, we used 45 degree angles and short runs of contuit cut at about 60 degrees so as to flush mount with the side of the house, through the sheathing into the wall.
You'll see on the photos 1) conduit coming up, 2) 45 degree angles going over conduit, 3 & 4) conduit coming through sheathing into the shack. Insulating foam was sprayed around the interface of the conduit and the wall. Also, I did not glue the conduit junction, just in case we have to get back into the conduit. The decking will eventually go down over the conduit (you can see the framing for the decking in the first couple photos).
photos are here: http://picasaweb.google.com/catbijou/ConduitEntry?authkey=XlIRmkTzsSw
Hope this is of some help. Still looking for good ideas for nice neat bulkhead panels!