My entire system is hooked up through component cables at the moment. The main reason for this is because my TV only has DVI and COMPONENT inputs. I have HDMI inputs/outputs on my receiver but I wasn't sure if having a HDMI cable with a DVI Adapter plugged into the TV was any better than straight components.
My DVD player is the only thing that has an HDMI output.
What model TV do you have and which DVD player? A cheap HDMI wire ( not Monster cable) may be a great improvement over component cable when you set the DVD to put 720P or 1080i depending on your TV.