Do not encode everything in $_POST/$_GET. HTML-escaping is an output-encoding issue, not an input-checking one.
Call htmlentities (or, usually better, htmlspecialchars) only at the point where you're taking some plain text and concatenating or echoing it into an HTML page. That applies whether the text you are using comes from a submitted parameter, or from the database, or somewhere else completely. Call mysql_real_escape_string only at the point you insert plain text into an SQL string literal.
It's tempting to shove all that escaping stuff in its own box at the top of the script and then forget about it. But text preparation really doesn't work like that, and if you pretend it does you'll find your database irreparably full of double-encoded crud, backslashes on your HTML page and security holes you didn't spot because you were taking data from a source other than the (encoded) parameters.
You can make the burden of remembering to mysql_real_escape_string go away by using mysqli's parameterised queries or another higher-level data access layer. You can make the burden of typing htmlspecialchars every time less bothersome by defining a shorter-named function for it, eg.:
<?php
function h($s) {
echo(htmlspecialchars($s, ENT_QUOTES));
}
?>
<h1> Blah blah </h1>
<p>
Blah blah <a href="<?php h($link); ?>"><?php h($title); ?></a> blah.
</p>
or using a different templating engine that encodes HTML by default.
cleanfor?clean().