I suffered signal loss from hooking a Y adapter to all three of my cables, but I adjusted the brightness (I work all Composite though).
But that's with the Wii. For the Playstation/Xbox/Gamecube, I use that kind of adapter. I hook the S-Video to the TV (or capture device) and the composite to whatever is not being used, then I use the Y-adapter to split the audio for both the TV and the computer.
Just don't keep connecting and disconnecting, because eventually your stuff is gonna get ruined.