In my opinion, yes. Here's a PS2 example.
I've had a low-end hdtv for a couple of years (that I plan to replace when I get out of school). Final Fantasy XII came out a couple weeks ago, and I didn't have component video cables at the time. Kept having an issue with not being able to see text really sharp unless I turned the contrast way down, which was just annoying. The game has a setting called Flicker Filter that can either smooth things out or not depending on what your TV is. After messing around w/it for a good while, I decided, screw it, I'll try a component video cable, they're probably gonna be cheaper now that the PS3 is coming out. (It wasn't.)
Ended up buying a component video cable from Best Buy that cost $60, which as a poor college student, a bit hard to swallow..but is SO worth it. The image is sharper, the text is crisp, and the game is much more fun to play.
I can see why if you don't have the $$ that you'd maybe not get one...but really, the output just looks better.
My boyfriend has a GameCube, and I really can't afford the Wii right now with nursing school starting in January...but I'll probably spend a little extra $ on getting a component vid cable for it anyway, b/c Zelda is worth it.