Gamespot run an article on "Video Cable Comparison" for the XBox360, here:
http://www.gamespot.com/features/6139690/index.html
Nice article to give you and introduction to the different video modes, and the visual comparison done in the article with sample pictures is pretty nice.
"How you connect the Xbox 360 to your TV could mean the difference between brilliant visuals and mediocre picture quality. If you have an HDTV you're going to want to use component cables to hook up the Xbox 360. For normal televisions, your best bet will be S-Video. Should you have an older-model TV that doesn't have an S-Video input, composite video might be your only option. Lastly, if your TV has only an RF input and you bought an Xbox 360, you probably should have bought a new TV first."
Summary: I see more hme entertainment investment in my future.