I have two different 15KHz RGB monitors for gaming--a Commodore 1084, and a Sony PVM 2530. I have two different TVs that accept component inputs; one is a standard 4:3 ratio Sharp 27 inch TV, the other is a Philips 16:9 HDTV (CRT) monitor , the Sharp can only do an interlaced component broadcast, the Philips can do progressive.
On both TVs, the interlaced broadcasts produce a very nice, very pleasing colour which is visibly superior to S-video even during fast moving play, animation, etc. Neither of them look as nice or as bright as the interlaced RGB broadcasts appear on my 1084 or Sony PVM, however. When progressive scan is enabled on the Philips HDTV monitor, it's another story entirely. The image is really indistinguishable to my eyes from RGB, and brings with it smoother animation; the higher resolution eliminates any jagged or zipper-like appearances along vertical and diagonal lines--a problem of interlacing that becomes very obvious to me with the more advanced systems on my RGB monitors. Some games appear to play more responsively from the better animation, but this just could be my imagination.
I haven't yet bought in to an RGB-to-component adapter to see how well it works with older interlaced consoles' RGB, but if you are a Gamecube, PS2, or Xbox enthusiast it is definitely worth your expense to jump to a progressive HDTV.