I recently switched all of my 'modern' systems to s-video, and all of them have noticeably improved video. The only gripe I have is that s-video really seems to separate out the pixels, so there's a sort of fine grid visible if you look closely. I think the composite blurred this effect.
As far as prices, when TRU went to 50% clearance, I grabbed a couple of the PS2 style switchboxes with s-video support. I doubt there are any left at 90% off, but you may get lucky.
I got most of my cables from a site called electric quarter. They carry s-video cables for most systems, and with combined shipping the total cost was better than buying individual cables on ebay.
If you want the best possible quality, monster cable and a couple other high end cable makers have s-video cables for all the current systems. I haven't tried any of the high-end cables to compare whether there's any real improvement for the extra cost.