I really can't say much about HD cable - there's no such thing here. Digital always had a better picture, and the non-HD channels were the same on HD digital, like I said.
I don't think all GCN games support prog.scan.
Here's a link for prog.scan enabled games. Keep in mind, though, that you have to be pressing the B button while the game is booting up to enable prog.scan. And it's not available on PAL games (you're in the US anyway, if I'm not mistaken).
And yes, component is RGB component. You have to use a separate red and white stereo audio cable for audio. Sometimes the component cable has these audio cables as a 4th and 5th cable attached (All console component cables do, I think. They should, because there's no other "audio out" port on them. I know that the Wii component cable does have the audio cables attached.) Or, of course, you can use an optical cable, if available (the PS2 has one, afaik).