Well, that is a bit of a can of worms. Some say it doesn't make much of a difference, wheras others swear it makes all the difference in the world.
I'm no expert on the subject matter, but I'd go with something in the middle of the road like those $30-50 cables. I don't think there's much point in spending hundreds of dollars on the ultra high-end stuff. Especially if you're only doing standard-def DVD.
Is your player progressive scan? Upconverting?
Even if the answer is no to both, you should notice a difference. My HDTV only has two component inputs, which until recently were taken up by my Xbox 360 and my PVR, but just last week I switched over my DVD player from s-video to component and was happily surprised with the difference. Even my wife commented on it, and that's saying something.
KM