I typically go through the grommet where the engine harness goes through. That way no water can leak in. Use a razor blade, cut a small slit through the grommet and push the wire through. Then when you are done hiding it, put electrical tape around it *neatly* to insure that water could not possibly leak in.
I have done many many sound systems. It all varies depending on the car. Sometimes it's easier to run it from the inside to the engine bay and sometimes it's easier to run it from the engine bay to the cabin.