Really depends on if you are using a TV or monitor.
I find VGA gives the best image quality consistently especially on a monitor (Which is kind of obvious) or sometimes a TV that has that input, as component cables can be a hit or miss either way.
I bought a cheap component cable years ago to try it out on a 52" Sony Bravia LCD TV only to find that it made the image pixelated as if it was like some low-res PSOne game. Tested it out with every game that I had just to make sure. Since it ended up being a duff cable, I forked out for the official Sony one and it worked out brilliantly in the end.
I prefer using component since I use the PS2 on a TV and it also makes the audio connections easier. Don't have to faff about with other cables/connections when using VGA.