Sorry, newb question, but what's the point of component cables? What's wrong with the cables the Wii ships with?
To clarify, there's nothing wrong with the cables which ship with the Wii, but they are simple composite cables. IF your display (television, LCD screen, whatever) accepts component input, though, you can use component cables (the cable has three video outs, two audio outs) and obtain a higher resolution display.
Nintendo sells a component cable, as do many third parties. Assuming the cable is put together decently, given the short cable run, you'd not notice any difference between any of the choices beyond the price tag.