Component is actually the best connection but only if you have a TV with component inputs, like the one's pictured below. source
This allows for Progressive Scan. If your TV doesn't have component inputs, then S-video will give you the next best, but Progressive Scan won't be possible.
To tell you the truth, I have a 27" tube TV with component and s-video inputs and I have an Xbox. When I changed from composite (the worst input) to an s-video cable, Splinter Cell looked a lot nicer; blacks were much blacker and there was less pixilation. Then I got a component cable and I didn't notice a major difference between it and S-video, so unless you have a high def TV, s-video may be good enough.