The difference between "interlaced" and "progressive" scan is a pretty big one, especially if you have a HDTV.
When you receive a TV broadcast, your television displays it in "interlaced" mode. Your standard TV has a little over 480 horizontal rows of pixels and the image refreshes at a rate of 30 frames per second. To do this, your TV evenly divides the 480 rows into "even" and "odd" rows, and "interlaced" means that half the lines are displayed for 1/60th of a second and the other half for 1/60th of a second. It's the equivalent of the entire screen refreshing at 1/30th of a second, but it doesn't happen simultaneously.
A "progressive" signal refreshes the entire screen
simultaneously at 1/30th of a second. It is a very noticable improvement, even moreso on HDTVs, and well worth the money.
To use a real-world example, imagine shuffling a deck of cards REALLY fast. Even if you shuffle a deck of 60 cards in one second, you'll still notice a bit of a "flicker", especially if the cards were the size of a big screen TV. Now imagine dropping the entire deck of cards a fraction of a millimeter from the ground. That's similar to what a "progressive signal" does. It's not a perfect example, but at least it's easier to visualize.

To be able to display a progressive signal, you need to skip the cheaper video cable options (composite and S-Video) and instead get
component cables. Your TV should also have a component input that can receive a progressive input.
I've seen many great progressive DVD players selling for around $200, and they are WELL worth the money. Even if you don't have an HD-capable TV, it'll save you money from having to buy one later when you DO get one. In the meantime, you can always use an S-Video cable with a standard definition TV.