Yes, there is a difference, but it costs...
Having spent a year and a half selling Monster cables (along with HDTVs, home theater, etc.) I can testify to some of the differences. Not everyone can tell that much of a difference just like not everyone can tell the differences between wines. Sometimes it is just a matter of taste.
If you have that opportunity to visit a high end electronics store, they should be able to demonstrate cable differences, especiallly between composite, s-video, component and DVI. That should be obvvious to most. Differences between variants of Monster component cables however is a bit harder to see and some TVs may or may not even show the differences.
I know you can make a cheap DVD player and TV look marginally better with expensive cables and you can make a really expensive TV look like crap with the cables they give away in the box. I've done it before for customer demos.
The comment about spending $5000 on a TV (so why not spend more on cables) is pretty close to the mark. I would not try to sell a set of $200 Monster Z cables to a guy with a $49 DVD player and an RCA 27" television. However, they person who just bought a Mits Diamond or a $6000+ plasma would definitely benefit from a better cable.
Look at it this way, if we are only talking about component cables (not DVI vs component), the more shielding you have, the less signal loss you have and the more of the 'picture' that appears. If you could use a 3 foot cable running it where no other electronics or power supplies/cables were near it, no problem. Most of us can't do that however.
If you are looking at Monster, I went with their THX cables for my video and Z cables for front L/R and Center speakers. On speaker cables, it makes a huge difference in sound. In video, it does make a difference, but a lot depends on what source you are displaying, what equipment is between source and TV (are you A/V switching via a receiver and if so, does that receiver have decent video processing), etc.
Again, if you go to a higher end store, try the cables out compared to what comes "in the box". If it doesn't improve, take them back. Or get them off eBay and take your chances.
Good luck.