It varies.
I tried component vs composite vs s-video from an Xbox to my 27" Panasonic TV. The difference between component and s-vid was that the colors were a little more vibrant using component. Other than that, picture quality was pretty much identical.
Change the Xbox to a PC, and the TV to something of higher quality, and it's very possible that there will be an even bigger difference. I'd definitely go for component if it's not going to break the bank.