Some must reads:
http://bluejeanscable.com/articles/index.htm
In my personal experience, many units put out a different picture over component and HDMI. In the case of the cable boxes I get around here, the picture from the component out is markedly superior.
If you can, try both and see which one works better for your equipment. I started as a HDMI advocate, but have really come to appreciate component as well.