<< Component Video is technically, visually, and practically the better picture.  I wouldn't even dream of watching something in S-Video.
you will in fact need special cables.  A 2m monster component video cable is about $60-$70 at best buy, maybe cheaper online. >>
well... you need a 3 connector RCA.  I bought one from Radio shack for $15 or so... good quality with gold connectors.  $70 for Monster Cable is a RIP OFF.  I mean.. you could build your own 2 meter cable with RG6 for about $10-15... and that probably has better bandwidth than MC.
Go with Component... it is slightly better than S-video, although in many cases, you can't tell much of a difference (depending on the quality of your TV and DVD player).