They're both pretty similar on interlaced setups (They're essential for HDTV), but once you use component, you'll never go back.
The thing is, a higher-quality component will look much better compared to a lower-quality cable. If you use a low-qual component, you're not going to be too blown away by the difference with S-Video, as I was. But once I shelled out for a $70 Monster Cable, I could not believe the detail that was brought out.
The colors looked incredibly more vibrant as compared to the old component cable which I got with my TV, and the image was cleaner and more detailed.
If you're going to go component, you might as well go all the way. It's really worth it.