Interesting you asked this today, I just swapped the S-VIDEO cable that goes from my Sony DVD player to my Toshiba 43" rear projection TV with a component video cable because I needed a new S-VIDEO cable to hook up my Dreamcast, so I figured I might as well upgrade my DVD player's connection. And to tell you the truth, I see no difference at all between the S-VIDEO picture and the component video picture.
However, one thing to note is after I switched to the component cable, I popped in my favorite movie of all time (The Matrix) and I immediately noticed the picture was very crappy. The image looked grainy, like enlarging low resolution movie. Stumped, at first I thought I got a defective cable or that I had to configure the component out on my DVD player or my TV. However, it turned out it was because I needed to calibrate my TV's component in setting since it stores component video settings different from antenna and S-VIDEO settings, it was at the TV's default factory settings. So after a quick calibration with Video Essentials, the picture ended up looking the same as before. Just goes to show how much of a difference calibrating your TV correctly makes!