Yes, it is like night and day... if you have an HD TV. I don't think it makes much difference for regular TVs, or if regular TVs even have the component cables (RGB).
But if you have an HD TV it's a must.
I had my PS2 hooked up to my HDTV a couple years ago with just the yellow wire and it was awful. Like all blurry and bland colors. The component cables made it really sharp and vibrant.
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