Component cables allow you to run in progressive scan mode vs. interlaced. However, if you're running out to a native p-scan set (like an LCD or DLP that's 720P or 1080P) the set is going to deinterlace anyway.
(There's a potential difference that's game specific, where the P-scan output can double buffer and produce smoother animation, if the technical documents I've read are correct).
Also isolating the Chroma/Luma in a component cable generally means less noise and better/clearer color reproduction.
It's definitely worth it for < $10.