Component is the "best" connection it can do
That must be why you can't really tell the difference. A lot of next-gen discs (Blu-Ray and HDDVD) have advanced copy protection on the disc, and in order for the full 1080p image and HD sound to be displayed from the disc, all components (Player, TV, AV receiver) must meet the copy protection specifications on the disc (AACS, HDCP, etc). The only way the player will know that your TV and AV reveiver will have copy protection is through a 2-way connection, such as HDMI. If you only use component, then the player can't verify that your TV meets all of those specifications, and will downscale the 1080p image to 540p (compared to DVD's 480p) in order to prevent pirates from having access to the full 1080p image.
To sum it up, if your TV and Blu-Ray player aren't connected by HDMI, then you won't get the full picture or sound.
That must be why you can't really tell the difference. A lot of next-gen discs (Blu-Ray and HDDVD) have advanced copy protection on the disc, and in order for the full 1080p image and HD sound to be displayed from the disc, all components (Player, TV, AV receiver) must meet the copy protection specifications on the disc (AACS, HDCP, etc). The only way the player will know that your TV and AV reveiver will have copy protection is through a 2-way connection, such as HDMI. If you only use component, then the player can't verify that your TV meets all of those specifications, and will downscale the 1080p image to 540p (compared to DVD's 480p) in order to prevent pirates from having access to the full 1080p image.
To sum it up, if your TV and Blu-Ray player aren't connected by HDMI, then you won't get the full picture or sound.