Is HDMI connection better than Component?

Yes, definitely use the HDMI connection(s).

With the toshiba the hdmi will transmit 1080i for hd-dvd and normal dvd's that it upconverts, with component you get 1080i for hd-dvd but only 540p for standard dvd (you lose the upconverting) so hdmi is the way to go if you have the input.

I would agree with these comments in 99% of all cases. However, there *is* that odd instance you hear documented every once in a while where component does legitimately look better. So, maybe borrow a decent component video cable if you can, or find a Cable Closet-type place with a fair return policy, and try out both just to be sure.

Steve,
Additionally.....Suggest you get the Toshiba HD-DVD player from somewhere that you can take it back, with no penalty/restocking fee. You may want to after trying it.
It is very s-l-o-w in responding. And not ALL movies are that good on HD-DVD. My upconverting DVD player is almost as good as SOME of the releases look. (I've got a reasonably decent HD projector on a 120" screen)
If set on going HD-DVD, I would recommend that you wait on the next generation of players. IMHO, Both HD-DVD AND BlueRay blew it BIG TIME with their new hardware releases.
Good luck and good listening!