I bought an XBox two weeks ago and just purchased the necessary cable adaptor yesterday. I do not have a HD TV, so I just needed S-Video and DD-5.1 audio. The adaptor you need is the "Advanced AV Pack" and retails for $19.99. Money well spent as the DD-5.1 (played Halo) is awesome. I believe it comes with the S-Video cable, but you will need to provide the optical audio cable.
Yep, I got the Advanced AV Pack as well since I couldn't use my one component hook up (it's used by my DVD player). The advance pack works very well...