Picture-quality wise, they are going to be pretty much identical.
Ideally you'd want HDMI since it's the newest technology, but it is definitely not a make-or-break issue, especially if your TV is 1080i/720p. If you have money to burn go for the HDMI, otherwise stick with VGA or component and rest easy. You aren't missing anything.
(for completeness sake - component cannot upscale DVDs like the VGA or HDMI cables can, that's the main reason I would recommend VGA or HDMI over component - if you don't care about that, though, component is fine...all three cables can upscale games to 1080p, though)