Many games support 480p output, which requires vga or component. Those that do look very nice in the higher resolution, but with component you need to double check that the cable itself and TV both support 480p. Most PVMs don't.
240p/480i over s-video still looks great though, especially on a CRT. In my opinion, component doesn't look much better than s-video at 240p/480i, so i'd only upgrade if that also gets you 480p.