A lot of folks who have written reviews regarding this subject are stating that the HDMI hook-up is awesome for HDTV programming. However when they are watching a normal broadcast, the picture is not that great. So many folks (with cable TV that is) are using the component cable as opposed to the HDMI. HDMI is good to use with your DVD player (if applicable).
I cannot attest to this myself as I am still waiting for my HDTV to arrive. However I have spoken with a representative from Crutchfield and from Toshiba, and both agreed that the component option will be better for cable television.
As far as expense, you're right, they are expensive. Some Monster Cables have a "dielectric gas" injected into them. These cables are mucho $$$. Apparently the gas:
"creates uniform, microscopic cells that allow the conductor to rest in the exact center of the cable (even when the cable is bent). The result is consistent 75-Ohm impedance for maximum signal strength, constant performance and efficient transfer of video signals between components."
My advice, just get some basic cables and ensure that they are the correct length. If you only need 4 feet but buy an 8 feet cable, then you're obviously going to end up bending the cables. So according to Monster Cables, you'll have 45-Ohm imedance instead of 75-Ohms because the cables are bent...oh no!!!
PC Richard & Son had some RCA brand component cables at a decent price (between $20 - $30). You can always get the high-end Monster Cables at a lower price on ebay as well.
Here is some more info about cables for HDTVs on CNET: http://www.cnet.com/4520-7874_1-5108580-5.html?tag=lnav