HDMI, 1 cable for audio and video, seperate audio for Component.
That said I used Component for a long time and liked it just as well.
I went to the HDMI when I bought my new Pioneer Elite.
I used HDMI until for whatever reason it stopped working with my H20. I had to switch to component. I never got to see a side-by-side comparison, but I have no complaints about the picture quality.
I received my HR21 last week and connected to my TV via HDMI. The cable can easily pop-out as there is no way to lock it in place. I will probably switch to component if it becomes an issue.
However it is nice to have everything going over 1 cable rather than 4.