A component video cable set is simply 3 composite video cables ganged together in a bundle. They are all made with 75 ohm coax which is required to mate correctly with the input video electronics.
Nick brought up a good point. For a while, you could go to Radio Shack and spend $15 for a Left/Right/Video cable and have an identical cable to their $30 component video cables. But a few years ago, Radio Shack changed their wires so the L/R coax is different from the Video wire. (Thanks to one of our members who disected a cable for the cause. )
Nick puts it pretty clearly. You could buy three composite video cables and achieve the desired result. I use a single Radio Shack gold series cable in my bedroom to connect my reciever to my tv. Problem is, they are about $12.99 each.
$30 bucks seems to be about the price point for a decent 6ft. component cable and about $20 for a 3ft. I have a 3 ft. Acoustic Research cable from Best Buy and have had no regrets. Great build quality. If you are looking for a deal, Parts Express has some bargain basement component cables starting at $5.25. They also have the house brand Dayton component cables which look pretty nice. I use Dayton cables for all my optical connections.
If you want to go the DIY route and have a coax crimper, you could roll out 3 identical lengths of good RG6 cable and buy 6 "F" to RCA adapters from Radio Shack for $2 a piece. Label them accordingly then zip tie them together for a great cable! I've used this solution many times for friends to make a very inexpensive subwoofer cable. Great solution for long runs.
Sooner than spending $2 on adapters, I'd spend $2 on these from PartsExpress. The nice thing about the adapters is that you can reuse them if you need to make longer/shorter/different cables. The bad thing is that they add another interface for the signal to cross, possibly degrading the high frequency performance slightly. Whether that's important is dependant on the application.
Keep in mind that you wouldn't want to use any old coax for such cables. You want coax with a solid copper (not steel or copper clad steel) center conductor, and a copper or tinned copper shield as well. Belden 1694A and various Canare types are well regarded, if abit on the expensive side.
Personally, I use Belden 1694A and those PE gold crimp RCAs for all my audio and video cables. The bulk can be unwieldy at times, but they're comparatively cheap (amortizing the cost of tools), and I always know I have just about the highest quality cables you can get (for any price).
Good call Dave. Saves a step. I have only done sub cables with RG6 to be honest...and its usually with a piece that I or my friend have laying around. Sub cables are a lot more forgiving than video cables.
I bought a couple of those $9 AR component cables from PE just to have around for various installations, because I never know when I will need one. I highly doubt you will find a better component cable for that price.