With a high quality source, such as DSS or DVD, you will definitely notice a difference with S-Video. Mason is correct, S-Video splits the video signal into a black and white component (luminance) and a color signal (chrominance). This prevents something called "dot crawl". If you do a direct A to B comparison, there is a noticable difference.
Component video splits the signal into three color components, similiar to (but not the same standard as) what you see with computer monitors. Component is considered to be the best.
The digital input on your receiver is for sound only, and you need a special coax digital cable for that. It is about half the price of a optical digital (toslink) cable.