DLP sets are a fixel pixel display, meaning they will display everything at their native resolution. Current DLP sets are 1280x720 (720p). Anything not at this resolution must be scaled by the internal chip to fit the screen.
When you play videogames using composite (RCA) cables or S-video the signal is limited to 840x480 (480i). The TV them must de-interlace and upscale this signal to fit it's native resolution. This is a slow process, and it causes not only videogame delay, but also audio sync problems. When you use Component cables with a videogame system you can send the TV a 480p signal, or even a 720p or 1080i signal with the Xbox (depending on the game). These signals are easier to scale and will tend to reduce or even eliminate the videogame lag.
This seems to be an issue that is mainly experienced with DLP. Even thoughLCD and LCoS are also fixed pixel displays, they do not exhibit the same lag/sync problems. That is one of the reasons why I own a JVC DiLA (LCoS).
I do not think all DLP's have the problem. I have really only heard of the problem being experienced with Samsung, which may indicate it being a problem with the scaler Samsung uses rather than DLP.
Personally, the only DLP I can speak with utmost authority on is the one I own - the Panasonic DLP - and it has no lag whatsoever.
I hooked up my PS2 to both a Samsung 5085 DLP and Toshiba 52 inch DLP today at Sears to see the lag for myself. On the Sammy, there was about a 1/4 second delay, not bad, but just enough to throw timing off, especially jumping sequences. On the Toshiba, it was perfect, just like my 20inch Sony at home. I'm guessing it must be a problem with the Samsung unit as the Toshiba performed great! Now, I was using component input but on an older PS2 model that is not progressive scan. Thought that might make a difference, but when the Toshiba showed no difficulties, that kind of answered right there.