Well, there are inputs which are theoretically better than the others-- but whether they are or not in real life depends mostly on how your TV (and your source) handle the inputs.
HDMI is supposed to be better than component, since HDMI is completely digital and component is analog. However, a lot of HDTV owners have noticed that not all manufacturers adhere completely to the HDMI specs-- resulting in quite a few small annoyances (screen freezing, sound delays, etc). Also, some (especially plasma owners) have noticed that HDMI seems more grainy than the same input using component. This is probably because the HDMI input is using a different (and likely cheaper) scaler than the analog component inputs.
VGA is also supposed to be superior to component, but mostly because you generally have the ability to use your screen's native resolution with VGA (and thus bypass any nasty scaling artificats). However, if your manufacture got skimpy with their VGA input they might have hardwired it through your screen's scaler anyways, or worse yet, forgot to allow it to accept your TV's native resolution as input. In those cases, VGA will be only marginally better than component-- if at all.
None of this even factors in whether or not the device you are using as input does a better job on any of its particular outputs over the others-- which will again skew the results. Some DVD players have outstanding HDMI outputs-- others just plain suck.
You really have to just test out your equipment on the various inputs and see what you like best.
For instance, I have found that on my plasma and Comcast dvr cable box, SD material looks noticably better through S-video than it does over component. For HD material, component looks better than HDMI. Better than all, is my VGA input when using my HTPC.