Bottom line is that component would be better than s-video from a performance standpoint, but there are a few considerations.
1. PS2 does not have many progressive scan games, as you mentioned. However, I recently switched from s-video cables to component on my PS2 and there was a noticeable improvement in picture clarity (50" Sony GWII tv). So even though you aren't necessarily getting the benefits of progressive scan for all games, the picture still seems to improve.
2. I would say one of your biggest considerations may be your available input situation for your tv... If you have limited component inputs but you want to hook up multiple game systems (Xbox, Gamecube...) then you would be better off using your component inputs for the other systems as they have a much greater quantity of progressive scan and high definition games.
I got my PS2 component cable for $5.50 off of ebay just a few weeks ago and I really can't complain about it's build quality. From my experience, there is usually an improvement by moving to monster cables, but when I can get a basic cable that works well for $5.50 I really can't justify spending the extra money... (disclaimer: I am using monster video-3 component cables for all of my HDTV and DVD interconnects.)
(Note: I am currently playing the beta test for Final Fantasy XI on the PS2 and there was a significant improvement in text readability when switching from the s-video to component. Also, I am using an Audio Authority 1154 component video switch box to run all of my video game systems into one component input on the tv... )