Another thing to consider is that some BD movies only allow 720p and 1080p to be output over HDMI. Apparently, they are worried about piracy so they limit the component output, which does not have DRM, to 480p.
I don't think this is an accurate statement.
Blu-ray has broadcast flags which can limit the output over component video to 480p (I believe), yet at this time not a single reported video has ever had this broadcast flag turned on and 100% of all movies are available in resolutions of 1080i, 720p, 480p, and 480i.
For HDMI, you get 1080p (!), 1080i, 720p, 480p, and 480i resolutions on Blu-ray discs.
It should also be noted that 1080p is the big one that a lot of people want, so it makes sense to go ahead and run HDMI if you can. In fact, considering that a HDMI cable is under 10 bucks at Monorpice, it really makes no sense at all to not get a few for use if your TV supports it!
The other less obvious known item is that upconversion of DVDs is only legally allowed to happen over the HDMI connection and is not allowed over the component video connections. This is, of course, stupid. It relates to piracy, but direct digital backups of DVDs are so simple to do, it's ludicrous to think someone would go through the hassle of an analog copy.
Generally - go with HDMI. It's one cable, it's cheap if you shop smart, and the video quality will be as good or better 90%+ of the time.