There are two main types of video signals: analog and digital. Analog has been the standard for decades, but today's advancements in technology have produced supirior digital image and sound that has changed the face of home theater quality.

Here are the options for video cables, in order of quality:

F-Type (RF) Coaxial Cables – These cables are the most common and the least desirable for AV connections. With the audio and video signal 'modulated' onto one cable, it is impossible to transmit as high a quality of signal as what can be carried by a component, S Video, or even a composite video cable. F-Pin connections supply only mono audio, not stereo.
Composite (RCA) Video Cables – Composite video cables represent a step up from standard coaxial cables. They feature what is called a RCA connector (RCA connections are now considered the standard on most TVs, DVDs, and VCRs); but, as with F-type cables, all video signals are carried on a single conductor, which is not an ideal form of transmission.
BNC Video Cables - Used primarily in the professional broadcast domain, BNC (short for Bayonet Neill Concelman, after the two engineers responsible for its invention) cables are actually the same as composite video except for the shape of the connector, which screws into place and is more secure than an RCA connector.
S-Video Cables – These cables are a significant step up from composite video. By breaking the video signal into two component parts, S-video cables greatly improve picture quality over composite video cables. S-video inputs are found on most high-end TVs and AV components.
Component Video Cables – These are the best non-digital cables for high definition video. They break down the video signal into three cables, so image clarity and sharpness is maximized. Component cables look just like composite cables (both use RCA-type connectors), but since component cables break down the video signal into three cables rather than composite cables' single cable for video transmission, the signal quality is superior to the other types.
DVI Cables – Digital Video Interface is a relatively new type of connection that supplies unmatched video quality. DVI maintains the pure video signal in its digital form from satellite and DVI-equipped DVD sources to the TV monitor or projector, thus providing the very best picture quality available.
HDMI Cables – High Definition Multimedia Interface is essentially a smaller version of DVI: it is backwards compatible with DVI. However, HDMI also carries 8 channel audio, which is not supported by DVI ports, so this would be lost in the transition. HDMI is a new technology that is available on high end DVD players, plasma and LCD screens, and HDTV.
VGA Cables – You may have seen VGA (Video Graphics Assembly) cables before, especially if you've used a computer. VGA is also referred to as 15-pin or HD15 because of the 15 pins on the male connector.