I have a 32" Sony WEGA, and I found that the component cables look a bit better than S Video. The S Video looks a lot better than the RCA-type cables or the coax cable input, however.
So... If you have a choice, here's the order you should go in:
Component Video Cables <--- The high end cables, usually used to connect upscale DVD players to an HDTV
S-Video <-- Almost as good. works well with DVD players, game consoles, or 640x480 computer output
RCA-Type jack Cables <--- The cheap ones that usually come with the DVD player. Good enough for a VCR, or an older game console.
Coax cable <--- bleh, but it's good enough for cable TV
Edit: Fixed my stupid typo
